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Bounds for Functions of Dependent Risks
Year Of Publication: 2005
Month Of Publication: September
Pages: 14
Download Count: 6
View Count: 1398
Comment Num: 0
Language: English
Who Can Read: Free
Date: 4-10-2010
Publisher: Administrator
Summary
The problem of finding the best-possible lower bound on the distribution
of a non-decreasing function of n dependent risks is solved when n = 2 and
a lower bound on the copula of the portfolio is provided. The problem gets much
more complicated in arbitrary dimensions. When no information on the structure
of dependence of the random vector is available, we provide a bound on the distribution
function of the sum of risks which we prove to be better than the one
generally used in the literature.
Author(s)
Embrechts, Paul Sign in to follow this author
Puccetti, Giovanni Sign in to follow this author
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