Dependence uncertainty for aggregate risk: examples and simple bounds

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Author
Embrechts, Paul
Jakobsons, Edgars
Date
2016
Type
    Book Chapter
Publication status
published
External links
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Book title
The Fascination of Probability, Statistics and their Applications: In Honour of Ole E. Barndorff-Nielsen
Pages / Article No.
395 - 417
Publisher
Springer
Subject
Value-at-risk; Expected shortfall; Risk aggregation; Dependence uncertainty; Inhomogeneous portfolio; Rearrangement algorithm
Organisational unit
03288 - Embrechts, Paul (emeritus) / Embrechts, Paul (emeritus)  
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ETH Bibliography
yes
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