Bounds for the sum of dependent risks having overlapping marginals

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/actuarial interest. Key words: Fr´echet bounds, overlapping marginals, dependent risks, mass transportation theory, copula functions, Value-at-Risk 2000 MSC: 60E15, 60E05

• Type: Journal
• Year: 2010
• Where: MA
• Authors: Paul Embrechts, Giovanni Puccetti
• Keywords: Communications, Dependent Risks, MA 2010, Marginals, Value-at-risk 2000 Msc