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Sharp bounds on the expected shortfall for a sum of dependent random variables
Puccetti, Giovanni
- In:
Statistics & Probability Letters
83
(
2013
)
4
,
pp. 1227-1232
Using a connection between the
rearrangement
algorithm
introduced in Puccetti and Rüschendorf (2012) and convex order …
Persistent link: https://www.econbiz.de/10011039826
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12
Model uncertainty and VaR aggregation
Embrechts, Paul
;
Puccetti, Giovanni
;
Rüschendorf, Ludger
- In:
Journal of banking & finance
37
(
2013
)
8
,
pp. 2750-2764
Persistent link: https://www.econbiz.de/10009776377
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