Bounds on the value-at-risk for the sum of possibly dependent risks

Insurance: Mathematics and Economics

Volumn 37, Issue 1 SPEC. ISS., 2005, Pages 135-151

  Mesfioui, Mhamed ^a   Quessy, Jean François ^a  

^a UNIVERSITÉ DU QUÉBEC À TROIS RIVIÈRES   (Canada)

Author keywords

Comonotonicity; Copula; Correlation matrix; Fr chet Hoeffding bounds; Value at risk

Indexed keywords

EID: 23444437592     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2005.03.002     Document Type: Article

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