Showing 1 - 3 of 3
Persistent link: https://www.econbiz.de/10011858644
We consider the problem of aggregating dependent risks in the presence of partial dependence information. More concretely, we assume that the risks involved belong to independent subgroups and the dependence structure within each group is unknown. We show that a sharp convex upper bound exists...
Persistent link: https://www.econbiz.de/10012979280
Persistent link: https://www.econbiz.de/10014325043