Dependence uncertainty for aggregate risk: examples and simple bounds

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Autor(in)
Embrechts, Paul
Jakobsons, Edgars
Datum
2016
Typ
    Book Chapter
Publikationsstatus
published
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Buchtitel
The Fascination of Probability, Statistics and their Applications: In Honour of Ole E. Barndorff-Nielsen
Seiten / Artikelnummer
395 - 417
Verlag
Springer
Thema
Value-at-risk; Expected shortfall; Risk aggregation; Dependence uncertainty; Inhomogeneous portfolio; Rearrangement algorithm
Organisationseinheit
03288 - Embrechts, Paul (emeritus) / Embrechts, Paul (emeritus)  
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