Bounds for the sum of dependent risks and worst Value-at-Risk with monotone marginal densities

Finance and Stochastics

Volumn 17, Issue 2, 2013, Pages 395-417

  Wang, Ruodu ^a,b   Peng, Liang ^a   Yang, Jingping ^c  

^a GEORGIA INSTITUTE OF TECHNOLOGY   (United States)

^b UNIVERSITY OF WATERLOO   (Canada)

^c PEKING UNIVERSITY   (China)

Author keywords

Complete mixability; Monotone density; Sum of dependent risks; Value at Risk

Indexed keywords

EID: 84874948674     PISSN: 09492984     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00780-012-0200-5     Document Type: Article

References (14)

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