Value-at-Risk bounds for aggregated risks have been derived in the literature in settings where besides the marginal distributions of the individual risk factors one-sided bounds for the joint distribution respectively the copula of the risks are available. In applications it turns out that...

Abstract In this paper, we formulate the classical optimal risk allocation problem for convex risk functionals defined on products of real Banach spaces as risk domains. This generality includes in particular the classical case of L p risks but also allows to describe the influence of dependence...

Summary In this paper we consider the problem of finding optimal consumption strategies in an incomplete semimartingale market model under model uncertainty. The quality of a consumption strategy is measured by not only one probability measure but as common in risk theory by a class of scenario...