AbstractWe propose a new algorithm to compute numerically sharp lower and upper bounds on the distribution of a function of d dependent random variables having fixed marginal distributions. Compared to the existing literature, the bounds are widely applicable, more accurate and more easily obtained
In this paper, explicit lower and upper bounds on the value-at-risk (VaR) for the sum of possibly de...
This paper studies the problem of finding best-possible upper bounds on the Value-at-Risk for a func...
We describe a numerical procedure to obtain bounds on the distribution function of a sum of n depend...
We propose a new algorithm to compute numerically sharp lower and upper bounds on the distribution o...
AbstractWe propose a new algorithm to compute numerically sharp lower and upper bounds on the distri...
The problem of finding the best-possible lower bound on the distribution of a non-decreasing functio...
Abstract: This paper introduces two techniques for computing bounds for several quantile-based risk ...
Sharp tail bounds for the sum of d random variables with given marginal distributions and arbitrary ...
Li et al. [Distributions with Fixed Marginals and Related Topics, vol. 28, Institute of Mathematics ...
We describe several analytical and numerical procedures to obtain bounds on the distribution functio...
In this paper, we survey, extend and improve several bounds for the distri- bution function and the ...
In quantitative risk management, it is important and challenging to find sharp bounds for the distri...
In this contribution, the upper bounds for sums of dependent random variables X-1 + X-2 + ... + X-n ...
In this contribution, the upper bounds for sums of dependent random variables X1 + X2 +···+Xn derive...
We consider the problem of determining risk bounds for the Value at Risk for risk vectors X where be...
In this paper, explicit lower and upper bounds on the value-at-risk (VaR) for the sum of possibly de...
This paper studies the problem of finding best-possible upper bounds on the Value-at-Risk for a func...
We describe a numerical procedure to obtain bounds on the distribution function of a sum of n depend...
We propose a new algorithm to compute numerically sharp lower and upper bounds on the distribution o...
AbstractWe propose a new algorithm to compute numerically sharp lower and upper bounds on the distri...
The problem of finding the best-possible lower bound on the distribution of a non-decreasing functio...
Abstract: This paper introduces two techniques for computing bounds for several quantile-based risk ...
Sharp tail bounds for the sum of d random variables with given marginal distributions and arbitrary ...
Li et al. [Distributions with Fixed Marginals and Related Topics, vol. 28, Institute of Mathematics ...
We describe several analytical and numerical procedures to obtain bounds on the distribution functio...
In this paper, we survey, extend and improve several bounds for the distri- bution function and the ...
In quantitative risk management, it is important and challenging to find sharp bounds for the distri...
In this contribution, the upper bounds for sums of dependent random variables X-1 + X-2 + ... + X-n ...
In this contribution, the upper bounds for sums of dependent random variables X1 + X2 +···+Xn derive...
We consider the problem of determining risk bounds for the Value at Risk for risk vectors X where be...
In this paper, explicit lower and upper bounds on the value-at-risk (VaR) for the sum of possibly de...
This paper studies the problem of finding best-possible upper bounds on the Value-at-Risk for a func...
We describe a numerical procedure to obtain bounds on the distribution function of a sum of n depend...
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