Dependence uncertainty for aggregate risk: examples and simple bounds
dc.contributor.author
Embrechts, Paul
dc.contributor.author
Jakobsons, Edgars
dc.date.accessioned
2017-06-11T22:14:29Z
dc.date.available
2017-06-11T22:14:29Z
dc.date.issued
2016
dc.identifier.isbn
978-3-319-25824-9
dc.identifier.isbn
978-3-319-25826-3
dc.identifier.other
10.1007/978-3-319-25826-3_18
dc.identifier.uri
http://hdl.handle.net/20.500.11850/108982
dc.language.iso
en
dc.publisher
Springer
dc.subject
Value-at-risk
dc.subject
Expected shortfall
dc.subject
Risk aggregation
dc.subject
Dependence uncertainty
dc.subject
Inhomogeneous portfolio
dc.subject
Rearrangement algorithm
dc.title
Dependence uncertainty for aggregate risk: examples and simple bounds
dc.type
Book Chapter
ethz.book.title
The Fascination of Probability, Statistics and their Applications: In Honour of Ole E. Barndorff-Nielsen
ethz.pages.start
395
ethz.pages.end
417
ethz.identifier.nebis
010580598
ethz.publication.place
Cham
ethz.publication.status
published
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03288 - Embrechts, Paul (emeritus) / Embrechts, Paul (emeritus)
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03288 - Embrechts, Paul (emeritus) / Embrechts, Paul (emeritus)
ethz.date.deposited
2017-06-11T22:14:49Z
ethz.source
ECIT
ethz.identifier.importid
imp593653d96ec0868039
ethz.ecitpid
pub:170017
ethz.eth
yes
ethz.availability
Metadata only
ethz.rosetta.installDate
2017-07-17T08:16:45Z
ethz.rosetta.lastUpdated
2022-03-28T14:25:41Z
ethz.rosetta.versionExported
true
ethz.COinS
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Book Chapter [9417]