Kaas, Rob; Laeven, Roger J.A.; Nelsen, Roger B. - In: Insurance: Mathematics and Economics 44 (2009) 2, pp. 146-158
This paper studies the problem of finding best-possible upper bounds on the Value-at-Risk for a function of two random variables when the marginal distributions are known and additional nonparametric information on the dependence structure, such as the value of a measure of association, is...
