Risk aggregation with dependence uncertainty
Abstract
Risk aggregation with dependence uncertainty refers to the sum of individual risks with known marginal distributions and unspecified dependence structure. We introduce the admissible risk class to study risk aggregation with dependence uncertainty. The admissible risk class has some nice properties such as robustness, convexity, permutation invariance and affine invariance. We then derive a new convex ordering lower bound over this class and...
Paper Details
Title
Risk aggregation with dependence uncertainty
Published Date
Jan 1, 2014
Volume
54
Pages
93 - 108
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