Bounds for functions of multivariate risks

Journal of Multivariate Analysis

Volumn 97, Issue 2, 2006, Pages 526-547

  Embrechts, Paul ^a   Puccetti, Giovanni ^b  

^a ETH ZURICH   (Switzerland)

^b UNIVERSITY OF FLORENCE   (Italy)

Author keywords

Coupling; Dual bounds; Multivariate marginals; Risk measures; Value at Risk

Indexed keywords

EID: 29444453065     PISSN: 0047259X     EISSN: 10957243     Source Type: Journal    
DOI: 10.1016/j.jmva.2005.04.001     Document Type: Article

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