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subadditivity sign in to follow this
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How to Get Bounds for Distribution Convolutions? A Simulation Study and an Application to Risk Management
Year Of Publication: 2000
Month Of Publication: September
Pages: 14
Download Count: 5
View Count: 1634
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 12-21-2010
Publisher: Administrator
Summary
In this paper, we consider the problem of bounds for distribution convolutions and we present some applications to risk management. We show that the upper Fréchet bound is not always the more risky dependence structure. It is in contradiction with the belief in ¯nance that maximal risk correspond to the case where the random variables are comonotonic.
Author(s)
Durrleman, Valdo Sign in to follow this author
Nikeghbali, Ashkan Sign in to follow this author
Roncalli, Thierry Sign in to follow this author
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