Theorem 15 of Embrechts, Höing & Puccetti (2005) proves that the comonotonic de-pendence structure gives rise to the on-average-most-adverse Value-at-Risk scenario for a function of dependent risks, when the marginal distributions are known but the dependence structure between the risks is unknown. This note extends this result to the case where, instead of no information, partial information on the dependence structure between the risks is available
This article gives counterexamples for some conjectures about risk orders. One is that in risky situ...
As perceived from daily experience together with numerous empirical studies, the multivariate risks ...
We give analytical bounds on the Value-at-Risk and on convex risk measures for a portfolio of random...
Theorem 15 of Embrechts, Höing & Puccetti (2005) proves that the comonotonic dependence structure gi...
The worst possible Value-at-Risk for a non-decreasing function \u3c8 of n dependent risks is known w...
This paper studies the problem of finding best-possible upper bounds on the Value-at-Risk for a func...
This paper studies the problem of finding best-possible upper bounds on the Value-at-Risk for a func...
This paper studies the problem of finding best-possible upper bounds on the Value-at-Risk for a func...
In this paper, explicit lower and upper bounds on the value-at-risk (VaR) for the sum of possibly de...
In this paper, we extend the concept of mutual exclusivity proposed by [Dhaene, J. & Denuit, M. (199...
For a sequence of random variables X 1, ..., X n , the dependence scenario yielding the worst possib...
In quantitative risk management, it is important and challenging to find sharp bounds for the distri...
© 2015 Taylor & Francis. In this paper, we extend the concept of mutual exclusivity proposed by [D...
In this paper, we extend the concept of mutual exclusivity proposed by Dhaene and Denuit (1999) to i...
We give analytical bounds on the Value-at-Risk and on convex risk measures for a portfolio of random...
This article gives counterexamples for some conjectures about risk orders. One is that in risky situ...
As perceived from daily experience together with numerous empirical studies, the multivariate risks ...
We give analytical bounds on the Value-at-Risk and on convex risk measures for a portfolio of random...
Theorem 15 of Embrechts, Höing & Puccetti (2005) proves that the comonotonic dependence structure gi...
The worst possible Value-at-Risk for a non-decreasing function \u3c8 of n dependent risks is known w...
This paper studies the problem of finding best-possible upper bounds on the Value-at-Risk for a func...
This paper studies the problem of finding best-possible upper bounds on the Value-at-Risk for a func...
This paper studies the problem of finding best-possible upper bounds on the Value-at-Risk for a func...
In this paper, explicit lower and upper bounds on the value-at-risk (VaR) for the sum of possibly de...
In this paper, we extend the concept of mutual exclusivity proposed by [Dhaene, J. & Denuit, M. (199...
For a sequence of random variables X 1, ..., X n , the dependence scenario yielding the worst possib...
In quantitative risk management, it is important and challenging to find sharp bounds for the distri...
© 2015 Taylor & Francis. In this paper, we extend the concept of mutual exclusivity proposed by [D...
In this paper, we extend the concept of mutual exclusivity proposed by Dhaene and Denuit (1999) to i...
We give analytical bounds on the Value-at-Risk and on convex risk measures for a portfolio of random...
This article gives counterexamples for some conjectures about risk orders. One is that in risky situ...
As perceived from daily experience together with numerous empirical studies, the multivariate risks ...
We give analytical bounds on the Value-at-Risk and on convex risk measures for a portfolio of random...
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