Search Results - subject:"dependence uncertainty"

Bounding the Impact of Hazard Interdependence on Climate Risk

Hain, Linda Isabella; Kölbel, Julian; Leippold, Markus - 2023

The severity of extreme weather events is increasing due to climate change, giving rise to physical climate risk. However, physical climate risk is not only driven by the severity of individual hazards, but also by the interdependence of those hazards. This paper establishes bounds for the...

Persistent link: https://www.econbiz.de/10014355193

Optimal reinsurance with multivariate risks and dependence uncertainty

Fadina, Tolulope; Hu, Junlei; Liu, Peng; Xia, Yi - In: European journal of operational research : EJOR 321 (2025) 1, pp. 231-242

Persistent link: https://www.econbiz.de/10015094950

Sufficient conditions for multivariate almost stochastic dominance under dependence uncertainty

Müller, Alfred; Scarsini, Marco; Tsetlin, Ilia; … - 2022

Persistent link: https://www.econbiz.de/10013461435

Maximum spectral measures of risk with given risk factor marginal distributions

Ghossoub, Mario; Hall, Jesse; Saunders, David M. - In: Mathematics of operations research 48 (2023) 2, pp. 1158-1182

Persistent link: https://www.econbiz.de/10014314983

Dual utilities on risk aggregation under dependence uncertainty

Wang, Ruodu; Xu, Zuo Quan; Zhou, Xun Yu - In: Finance and stochastics 23 (2019) 4, pp. 1025-1048

Persistent link: https://www.econbiz.de/10012114687

Model-free bounds on Value-at-Risk using extreme value information and statistical distances

Lux, Thibaut; Papapantoleon, Antonis - In: Insurance / Mathematics & economics 86 (2019), pp. 73-83

Persistent link: https://www.econbiz.de/10012058825

Analysis of risk bounds in partially specified additive factor models

Rüschendorf, Ludger - In: Insurance / Mathematics & economics 86 (2019), pp. 115-121

Persistent link: https://www.econbiz.de/10012058839

Asymptotic equivalence of risk measures under dependence uncertainty

Cai, Jun; Liu, Haiyan; Wang, Ruodu - In: Mathematical finance : an international journal of … 28 (2018) 1, pp. 29-49

Persistent link: https://www.econbiz.de/10011969153

Reduction of Value-at-Risk bounds via independence and variance information

Puccetti, Giovanni; Rüschendorf, Ludger; Small, Daniel; … - In: Scandinavian actuarial journal (2017) 3, pp. 245-266

Persistent link: https://www.econbiz.de/10011772119

Collective risk models with dependence uncertainty

Liu, Haiyan; Wang, Ruodu - In: Astin bulletin : the journal of the International … 47 (2017) 2, pp. 361-389

Persistent link: https://www.econbiz.de/10011729564

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