摘要 : In this paper, we survey, extend and improve several bounds for the distribution function and the tail probabilities of portfolios, where the dependence structure within the portfolio is completely unknown or only partially known.... 展开
作者 | Giovanni Puccetti Ludger Ruschendorf |
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期刊名称 | 《Statistics & Risk Modeling》 |
总页数 | 26 |
语种/中图分类号 | 英语 / N3 |
关键词 | Frechet bounds Overlapping marginals Dependent risks Mass transportation theory Joint portfolio |
馆藏号 | N2011EPST0001072 |