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  • Search: subject:"Fréchet bounds"
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Subject
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Fréchet bounds 6 Complete mixability 2 Convex order 2 Counter-monotonicity 2 Decision 2 Entscheidung 2 Hoeffding-Fréchet bounds 2 Mutual exclusivity 2 Portfolio selection 2 Portfolio-Management 2 Präferenztheorie 2 Theory of preferences 2 dependent risks 2 Anlageverhalten 1 Behavioural finance 1 Comonotonicity 1 Copulas 1 Cost-efficiency 1 Decision analysis 1 Decision theory 1 Dependence bounds 1 Dependent risks 1 Entscheidungstheorie 1 Erwartungsnutzen 1 Expected utility 1 Frechet bounds 1 Incomplete market 1 Incomplete market models 1 M/M/1 queue 1 Markov chain 1 Optimization under monotonicity constraints 1 Positive dependence 1 Preferences 1 SM/M/1 queue 1 State-dependent preferences 1 Unvollkommener Markt 1 Value-at-Risk 1 Yaari's dual theory of choice 1 bivariate distributions 1 copulae 1
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Article 9
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Article in journal 3 Aufsatz in Zeitschrift 3
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Undetermined 6 English 3
Author
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Cheung, Ka Chun 2 Embrechts, Paul 2 Lo, Ambrose 2 Puccetti, Giovanni 2 Rüschendorf, Ludger 2 Vanduffel, Steven 2 Boudt, Kris 1 Dragun, K. 1 HUNTER, JEFFREY J. 1 Höing, Andrea 1 Juri, Alessandro 1 Kimeldorf, George 1 Sampson, Allan 1
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Published in...
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Finance and Stochastics 2 Annals of the Institute of Statistical Mathematics 1 Asia-Pacific Journal of Operational Research (APJOR) 1 Decisions in economics and finance : a journal of applied mathematics 1 Insurance / Mathematics & economics 1 Insurance: Mathematics and Economics 1 Quantitative finance 1 Statistics & Risk Modeling 1
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Source
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RePEc 5 ECONIS (ZBW) 3 Other ZBW resources 1
Showing 1 - 9 of 9
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The optimal payoff for a Yaari investor
Boudt, Kris; Dragun, K.; Vanduffel, Steven - In: Quantitative finance 22 (2022) 10, pp. 1839-1852
Persistent link: https://www.econbiz.de/10013367950
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On the construction of optimal payoffs
Rüschendorf, Ludger; Vanduffel, Steven - In: Decisions in economics and finance : a journal of … 43 (2020) 1, pp. 129-153
Persistent link: https://www.econbiz.de/10012285394
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Characterizing mutual exclusivity as the strongest negative multivariate dependence structure
Cheung, Ka Chun; Lo, Ambrose - In: Insurance: Mathematics and Economics 55 (2014) C, pp. 180-190
Mutual exclusivity is an extreme negative dependence structure that was first proposed and studied in Dhaene and Denuit (1999) in the context of insurance risks. In this article, we revisit this notion and present versatile characterizations of mutually exclusive random vectors via their...
Persistent link: https://www.econbiz.de/10010753211
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Characterizing mutual exclusivity as the strongest negative multivariate dependence structure
Cheung, Ka Chun; Lo, Ambrose - In: Insurance / Mathematics & economics 55 (2014), pp. 180-190
Persistent link: https://www.econbiz.de/10010366180
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Bounds for joint portfolios of dependent risks
Puccetti, Giovanni; Rüschendorf, Ludger - In: Statistics & Risk Modeling 29 (2012) 2, pp. 107-132
Abstract In this paper, we survey, extend and improve several bounds for the distribution function and the tail probabilities of portfolios, where the dependence structure within the portfolio is completely unknown or only partially known. We present various methods for obtaining bounds based on...
Persistent link: https://www.econbiz.de/10014622224
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MARKOVIAN QUEUES WITH CORRELATED ARRIVAL PROCESSES
HUNTER, JEFFREY J. - In: Asia-Pacific Journal of Operational Research (APJOR) 24 (2007) 04, pp. 593-611
based upon the upper and lower bounding joint distribution functions given by the Fréchet bounds for bivariate distributions …
Persistent link: https://www.econbiz.de/10005050700
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Bounds for Functions of Dependent Risks
Embrechts, Paul; Puccetti, Giovanni - In: Finance and Stochastics 10 (2006) 3, pp. 341-352
Persistent link: https://www.econbiz.de/10005390645
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Using copulae to bound the Value-at-Risk for functions of dependent risks
Embrechts, Paul; Höing, Andrea; Juri, Alessandro - In: Finance and Stochastics 7 (2003) 2, pp. 145-167
The theory of copulae is known to provide a useful tool for modelling dependence in integrated risk management. In the present paper we review and extend some of the more recent results for finding distributional bounds for functions of dependent risks. As an example, the main emphasis is put on...
Persistent link: https://www.econbiz.de/10005759625
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A framework for positive dependence
Kimeldorf, George; Sampson, Allan - In: Annals of the Institute of Statistical Mathematics 41 (1989) 1, pp. 31-45
Persistent link: https://www.econbiz.de/10005169339
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