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MA
2010
Springer
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13 years 11 months ago
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 appl...
Paul Embrechts, Giovanni Puccetti
FS
2006
102views more  FS 2006»
14 years 18 days ago
Bounds for Functions of Dependent Risks
Abstract The problem of finding the best-possible lower bound on the distribution of a non-decreasing function of n dependent risks is solved when n = 2 and a lower bound on the co...
Paul Embrechts, Giovanni Puccetti