Based on a novel extension of classical Hoe ding-Fr\ue9chet bounds, we provide an upper VaR bound for joint risk portfolios with xed marginal distributions and positive dependence information. The positive dependence information can be assumed to hold in the tails, in some central part, or on a general subset of the domain of the distribution function of a risk portfolio. The newly provided VaR bound can be interpreted as a comonotonic VaR computed at a distorted con dence level and its quality is illustrated in a series of examples of practical interest
In this PhD thesis we consider different aspects of dependence modeling with applications in multiva...
The problem of establishing reliable estimates or bounds for the (T)VaR of a joint risk portfolio is...
A central problem for regulators and risk managers concerns the risk assessment of an aggregate port...
In this paper, we survey, extend and improve several bounds for the distri- bution function and the ...
We study upper and lower bounds on the expectile risk measure of risky portfolios when the joint dis...
There is a recent interest in finding bounds for risk measures of portfolios when the marginal distri...
We give analytical bounds on the Value-at-Risk and on convex risk measures for a portfolio of random...
We provide stochastic bounds for conditional distributions of individual risks in a portfolio, given...
The theory of copulas provides a useful tool for modeling dependence in risk management. In insuran...
In this paper, explicit lower and upper bounds on the value-at-risk (VaR) for the sum of possibly de...
Despite well-known shortcomings as a risk measure, Value-at-Risk (VaR) is still the industry and reg...
The theory of copulae is known to provide a useful tool for modelling dependence in integrated risk ...
© 2015 Taylor & Francis. In this paper, we extend the concept of mutual exclusivity proposed by [D...
For a sequence of random variables X 1, ..., X n , the dependence scenario yielding the worst possib...
In this paper, we extend the concept of mutual exclusivity proposed by [Dhaene, J. & Denuit, M. (199...
In this PhD thesis we consider different aspects of dependence modeling with applications in multiva...
The problem of establishing reliable estimates or bounds for the (T)VaR of a joint risk portfolio is...
A central problem for regulators and risk managers concerns the risk assessment of an aggregate port...
In this paper, we survey, extend and improve several bounds for the distri- bution function and the ...
We study upper and lower bounds on the expectile risk measure of risky portfolios when the joint dis...
There is a recent interest in finding bounds for risk measures of portfolios when the marginal distri...
We give analytical bounds on the Value-at-Risk and on convex risk measures for a portfolio of random...
We provide stochastic bounds for conditional distributions of individual risks in a portfolio, given...
The theory of copulas provides a useful tool for modeling dependence in risk management. In insuran...
In this paper, explicit lower and upper bounds on the value-at-risk (VaR) for the sum of possibly de...
Despite well-known shortcomings as a risk measure, Value-at-Risk (VaR) is still the industry and reg...
The theory of copulae is known to provide a useful tool for modelling dependence in integrated risk ...
© 2015 Taylor & Francis. In this paper, we extend the concept of mutual exclusivity proposed by [D...
For a sequence of random variables X 1, ..., X n , the dependence scenario yielding the worst possib...
In this paper, we extend the concept of mutual exclusivity proposed by [Dhaene, J. & Denuit, M. (199...
In this PhD thesis we consider different aspects of dependence modeling with applications in multiva...
The problem of establishing reliable estimates or bounds for the (T)VaR of a joint risk portfolio is...
A central problem for regulators and risk managers concerns the risk assessment of an aggregate port...