Search Results - subject:"VaR-bounds"

Narrow search

Bounding stochastic dependence, joint mixability of matrices, and multidimensional bottleneck assignment problems

Haus, Utz-Uwe - In: Operations research letters 43 (2015) 1, pp. 74-79

Persistent link: https://www.econbiz.de/10010486332

A clustering approach and a rule of thumb for risk aggregation

Di Lascio, F. Marta L.; Giammusso, Davide; Puccetti, … - In: Journal of banking & finance 96 (2018), pp. 236-248

Persistent link: https://www.econbiz.de/10011967212

Risk aggregation with dependence uncertainty

Bernard, Carole; Jiang, Xiao; Wang, Ruodu - In: Insurance: Mathematics and Economics 54 (2014) C, pp. 93-108

Risk aggregation with dependence uncertainty refers to the sum of individual risks with known marginal distributions and unspecified dependence structure. We introduce the admissible risk class to study risk aggregation with dependence uncertainty. The admissible risk class has some nice...

Persistent link: https://www.econbiz.de/10010729665

Risk aggregation with dependence uncertainty

Bernhard, Carole; Jiang, Xiao; Wang, Ruodu - In: Insurance / Mathematics & economics 54 (2014), pp. 93-108

Persistent link: https://www.econbiz.de/10010259666