Bounds for the sum of dependent risks having overlapping marginals

Journal of Multivariate Analysis

Volumn 101, Issue 1, 2010, Pages 177-190

  Embrechts, Paul ^a   Puccetti, Giovanni ^b  

^a ETH ZURICH   (Switzerland)

^b UNIVERSITY OF FLORENCE   (Italy)

Author keywords

Copula functions; Dependent risks; Fr chet bounds; Mass transportation theory; Overlapping marginals; Value at Risk

Indexed keywords

EID: 70350090492     PISSN: 0047259X     EISSN: 10957243     Source Type: Journal    
DOI: 10.1016/j.jmva.2009.07.004     Document Type: Article

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