Measuring portfolio risk under partial dependence information

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<dc:creator>Bernard, Carole</dc:creator>
<dc:creator>Denuit, Michel</dc:creator>
<dc:creator>Vanduffel, Steven</dc:creator>
<dc:date>2018-09-03</dc:date>
<dc:description xml:lang="es">Sumario: In this article, we assess model risk on aggregation. If the marginal distributions of the risky components are known but their interdependence is not, it is possible to identify models that give rise to the maximum and minimum possible values for VaR</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/165713.do</dc:identifier>
<dc:language>eng</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Gerencia de riesgos</dc:subject>
<dc:subject xml:lang="es">Información financiera</dc:subject>
<dc:subject xml:lang="es">Solvencia II</dc:subject>
<dc:subject xml:lang="es">Empresas de seguros</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Measuring portfolio risk under partial dependence information</dc:title>
<dc:relation xml:lang="es">En: The Journal of risk and insurance. - Nueva York : The American Risk and Insurance Association, 1964- = ISSN 0022-4367. - 03/09/2018 Volumen 85 Número 3 - septiembre 2018 , p. 843-867</dc:relation>
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