Bounds for the sum of dependent risks and worst Value-at-Risk with monotone marginal densities

Using copulae to bound the Value-at-Risk for functions of dependent risks

Paul Embrechts, Andrea Höing, Alessandro Juri · Finance and Stochastics · 2003 · 288 citations

Dependent Risks, Engineering, Uncertainty Quantification +8

Random variables with maximum sums

Ludger Rüschendorf · Advances in Applied Probability · 1982 · 188 citations

Mathematical Programming, Engineering, Discrete Probability +16

The complete mixability and convex minimization problems with monotone marginal densities

Bin Wang, Ruodu Wang · Journal of Multivariate Analysis · 2011 · 161 citations

Mixture Distribution, Engineering, Density Estimation +10

Stochastic bounds on sums of dependent risks

Michel Denuit, Christian Genest, Étienne Marceau · Insurance Mathematics and Economics · 1999 · 142 citations

Engineering, Risk Management, Stochastic Calculus +5

Computation of sharp bounds on the distribution of a function of dependent risks

Giovanni Puccetti, Ludger Rüschendorf · Journal of Computational and Applied Mathematics · 2011 · 142 citations

Dependent Risks, Engineering, Uncertainty Quantification +9