Bounds for the sum of dependent risks having overlapping marginals

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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Year of publication:	2010
Authors:	Embrechts, Paul ; Puccetti, Giovanni
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 101.2010, 1, p. 177-190
Publisher:	Elsevier
Keywords:	Frechet bounds Overlapping marginals Dependent risks Mass transportation theory Copula functions Value-at-Risk

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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