We describe several analytical and numerical procedures to obtain bounds on the distribution function of a sum of n dependent risks having fixed overlapping marginals. As an application, we produce bounds on quantile-based risk measures for portfolios of financial and actuarial interest.
Bounds for the sum of dependent risks having overlapping marginals / P. Embrechts, G. Puccetti. - In: JOURNAL OF MULTIVARIATE ANALYSIS. - ISSN 0047-259X. - 101:1(2010), pp. 177-190.
Bounds for the sum of dependent risks having overlapping marginals
G. Puccetti
2010
Abstract
We describe several analytical and numerical procedures to obtain bounds on the distribution function of a sum of n dependent risks having fixed overlapping marginals. As an application, we produce bounds on quantile-based risk measures for portfolios of financial and actuarial interest.
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