Bounds for the sum of dependent risks having overlapping marginals

Paul Embrechts and Giovanni Puccetti

Journal of Multivariate Analysis, 2010, vol. 101, issue 1, 177-190

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.

Keywords: Frechet; bounds; Overlapping; marginals; Dependent; risks; Mass; transportation; theory; Copula; functions; Value-at-Risk (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (6)

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