Risk aggregation with dependence uncertainty

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<title>Risk aggregation with dependence uncertainty</title>
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<abstract displayLabel="Summary">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 give a sufficient condition for this lower bound to be sharp in the case of identical marginal distributions. The results are used to identify extreme scenarios and calculate bounds on Value-at-Risk as well as on convex and coherent risk measures and other quantities of interest in finance and insurance. Numerical illustrations are provided for different settings and commonly-used distributions of risks.</abstract>
<note type="statement of responsibility">Carole Bernard, Xiao Jiang, Ruodu Wang</note>
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<title>Insurance : mathematics and economics</title>
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<publisher>Oxford : Elsevier, 1990-</publisher>
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<identifier type="issn">0167-6687</identifier>
<identifier type="local">MAP20077100574</identifier>
<part>
<text>13/01/2014 Volumen 54 Número 1 - enero 2014 </text>
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