We describe several analytical and numerical procedures to obtain bounds on the distribution function of a sum of n dependent risks having fixed overlapping marginals. As an application, we produce bounds on quantile-based risk measures for portfolios of financial and actuarial interest.
Bounds for the sum of dependent risks having overlapping marginals / G.Puccetti; P. Embrechts. - In: JOURNAL OF MULTIVARIATE ANALYSIS. - ISSN 0047-259X. - STAMPA. - 101:(2010), pp. 177-190. [10.1016/j.jmva.2009.07.004]
Bounds for the sum of dependent risks having overlapping marginals
PUCCETTI, GIOVANNI;
2010
Abstract
We describe several analytical and numerical procedures to obtain bounds on the distribution function of a sum of n dependent risks having fixed overlapping marginals. As an application, we produce bounds on quantile-based risk measures for portfolios of financial and actuarial interest.
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