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.
Bounds for functions of dependent risks / P. Embrechts; G. Puccetti. - In: FINANCE AND STOCHASTICS. - ISSN 0949-2984. - ELETTRONICO. - 10:(2006), pp. 341-352. [10.1007/s00780-006-0005-5]
Bounds for functions of dependent risks
PUCCETTI, GIOVANNI
2006
Abstract
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.
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