Sharp bounds for sums of dependent risks

Journal of Applied Probability

Volumn 50, Issue 1, 2013, Pages 42-53

  Puccetti, Giovanni ^a   Rüschendorf, Ludger ^b  

^a UNIVERSITY OF FLORENCE   (Italy)

^b UNIVERSITY OF FREIBURG   (Germany)

Author keywords

Bounds for dependent risks; Fr chet bound; Mass transportation theory

Indexed keywords

EID: 84878624559     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1239/jap/1363784423     Document Type: Article

References (11)

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11. Wang, R., Peng, L. and Yang, J. (2013). Bounds for the sum of dependent risks and worst Value-at-Risk with monotone marginal densities. To appear in Finance Stock.