Bounds for the sum of dependent risks having overlapping marginals

Authors:
Paul Embrechts;Giovanni Puccetti
Affiliations:
Department of Mathematics, ETH Zurich, CH-8092 Zurich, Switzerland;Department of Mathematics for Decisions, University of Firenze, I-50134 Firenze, Italy
Venue:
Journal of Multivariate Analysis
Year:
2010

Citing 2
Cited 1

Bounds for functions of multivariate risks

Journal of Multivariate Analysis
An Introduction to Copulas (Springer Series in Statistics)

An Introduction to Copulas (Springer Series in Statistics)

Computation of sharp bounds on the distribution of a function of dependent risks

Journal of Computational and Applied Mathematics

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Abstract

We describe several analytical and numerical procedures to obtain bounds on the distribution function of a sum of n dependent risks having fixed overlapping marginals. As an application, we produce bounds on quantile-based risk measures for portfolios of financial and actuarial interest.