Measuring portfolio risk under partial dependence information

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<title>Measuring portfolio risk under partial dependence information</title>
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<namePart>Denuit, Michel</namePart>
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<namePart>Vanduffel, Steven</namePart>
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<abstract displayLabel="Summary">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</abstract>
<note type="statement of responsibility">Carole Bernard, Michel Denuit, Steven Vanduffel</note>
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<topic>Gerencia de riesgos</topic>
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<topic>Información financiera</topic>
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<topic>Solvencia II</topic>
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<title>The Journal of risk and insurance</title>
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<publisher>Nueva York : The American Risk and Insurance Association, 1964-</publisher>
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<identifier type="issn">0022-4367</identifier>
<identifier type="local">MAP20077000727</identifier>
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<text>03/09/2018 Volumen 85 Número 3 - septiembre 2018 , p. 843-867</text>
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