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Risk aggregation with dependence uncertainty

Citations

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Cited by:

  1. Corrado De Vecchi & Max Nendel & Jan Streicher, 2024. "Upper Comonotonicity and Risk Aggregation under Dependence Uncertainty," Papers 2406.19242, arXiv.org.
  2. Cosimo Munari & Lutz Wilhelmy & Stefan Weber, 2021. "Capital Requirements and Claims Recovery: A New Perspective on Solvency Regulation," Papers 2107.10635, arXiv.org.
  3. Rüschendorf, L., 2019. "Analysis of risk bounds in partially specified additive factor models," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 115-121.
  4. Edgars Jakobsons & Steven Vanduffel, 2015. "Dependence Uncertainty Bounds for the Expectile of a Portfolio," Risks, MDPI, vol. 3(4), pages 1-25, December.
  5. Stephan Eckstein & Michael Kupper, 2018. "Computation of optimal transport and related hedging problems via penalization and neural networks," Papers 1802.08539, arXiv.org, revised Jan 2019.
  6. Shi, Peng & Zhao, Zifeng, 2024. "Enhanced pricing and management of bundled insurance risks with dependence-aware prediction using pair copula construction," Journal of Econometrics, Elsevier, vol. 240(1).
  7. Wang, Bin & Wang, Ruodu, 2015. "Extreme negative dependence and risk aggregation," Journal of Multivariate Analysis, Elsevier, vol. 136(C), pages 12-25.
  8. Giovanni Puccetti & Pietro Rigo & Bin Wang & Ruodu Wang, 2019. "Centers of probability measures without the mean," Journal of Theoretical Probability, Springer, vol. 32(3), pages 1482-1501, September.
  9. Carole Bernard & Ludger Rüschendorf & Steven Vanduffel & Ruodu Wang, 2017. "Risk bounds for factor models," Finance and Stochastics, Springer, vol. 21(3), pages 631-659, July.
  10. Xavier Milhaud & Victorien Poncelet & Clement Saillard, 2018. "Operational Choices for Risk Aggregation in Insurance: PSDization and SCR Sensitivity," Risks, MDPI, vol. 6(2), pages 1-23, April.
  11. Ruodu Wang & Zuo Quan Xu & Xun Yu Zhou, 2019. "Dual utilities on risk aggregation under dependence uncertainty," Finance and Stochastics, Springer, vol. 23(4), pages 1025-1048, October.
  12. Bernard, Carole & Vanduffel, Steven, 2015. "A new approach to assessing model risk in high dimensions," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 166-178.
  13. Kim, Sojung & Weber, Stefan, 2022. "Simulation methods for robust risk assessment and the distorted mix approach," European Journal of Operational Research, Elsevier, vol. 298(1), pages 380-398.
  14. Jose Blanchet & Henry Lam & Yang Liu & Ruodu Wang, 2020. "Convolution Bounds on Quantile Aggregation," Papers 2007.09320, arXiv.org, revised Sep 2024.
  15. Asimit, Alexandru V. & Gerrard, Russell, 2016. "On the worst and least possible asymptotic dependence," Journal of Multivariate Analysis, Elsevier, vol. 144(C), pages 218-234.
  16. Bin Wang & Ruodu Wang, 2016. "Joint Mixability," Mathematics of Operations Research, INFORMS, vol. 41(3), pages 808-826, August.
  17. Jean-Gabriel Lauzier & Liyuan Lin & Ruodu Wang, 2023. "Pairwise counter-monotonicity," Papers 2302.11701, arXiv.org, revised May 2023.
  18. Cosimo Munari & Stefan Weber & Lutz Wilhelmy, 2023. "Capital requirements and claims recovery: A new perspective on solvency regulation," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 90(2), pages 329-380, June.
  19. Jonathan Ansari & Eva Lutkebohmert, 2024. "Robust Bernoulli mixture models for credit portfolio risk," Papers 2411.11522, arXiv.org.
  20. Daniël Linders & Jan Dhaene & Wim Schoutens, 2015. "Option prices and model-free measurement of implied herd behavior in stock markets," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(02), pages 1-35.
  21. Gary van Vuuren & Riaan de Jongh, 2017. "A comparison of risk aggregation estimates using copulas and Fleishman distributions," Applied Economics, Taylor & Francis Journals, vol. 49(17), pages 1715-1731, April.
  22. Lauzier, Jean-Gabriel & Lin, Liyuan & Wang, Ruodu, 2023. "Pairwise counter-monotonicity," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 279-287.
  23. Lee Woojoo & Ahn Jae Youn, 2017. "Measuring herd behavior: properties and pitfalls," Dependence Modeling, De Gruyter, vol. 5(1), pages 316-329, December.
  24. Luca De Gennaro Aquino & Carole Bernard, 2019. "Bounds on Multi-asset Derivatives via Neural Networks," Papers 1911.05523, arXiv.org, revised Nov 2020.
  25. Xia Han & Liyuan Lin & Ruodu Wang, 2022. "Diversification quotients: Quantifying diversification via risk measures," Papers 2206.13679, arXiv.org, revised Jul 2024.
  26. Yichun Chi & Zuo Quan Xu & Sheng Chao Zhuang, 2022. "Distributionally Robust Goal-Reaching Optimization in the Presence of Background Risk," North American Actuarial Journal, Taylor & Francis Journals, vol. 26(3), pages 351-382, August.
  27. Bignozzi, Valeria & Puccetti, Giovanni & Rüschendorf, Ludger, 2015. "Reducing model risk via positive and negative dependence assumptions," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 17-26.
  28. Liu, Peng & Wang, Ruodu & Wei, Linxiao, 2020. "Is the inf-convolution of law-invariant preferences law-invariant?," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 144-154.
  29. Job Boerma & Aleh Tsyvinski & Alexander P. Zimin, 2021. "Sorting with Teams," Papers 2109.02730, arXiv.org, revised Nov 2023.
  30. Ruodu Wang & Yunran Wei & Gordon E. Willmot, 2020. "Characterization, Robustness, and Aggregation of Signed Choquet Integrals," Mathematics of Operations Research, INFORMS, vol. 45(3), pages 993-1015, August.
  31. H'el`ene Cossette & Etienne Marceau & Alessandro Mutti & Patrizia Semeraro, 2024. "Generalized FGM dependence: Geometrical representation and convex bounds on sums," Papers 2406.10648, arXiv.org, revised Oct 2024.
  32. Chen, Yuyu & Lin, Liyuan & Wang, Ruodu, 2022. "Risk aggregation under dependence uncertainty and an order constraint," Insurance: Mathematics and Economics, Elsevier, vol. 102(C), pages 169-187.
  33. Ra'ul Torres & Rosa E. Lillo & Henry Laniado, 2015. "A Directional Multivariate Value at Risk," Papers 1502.00908, arXiv.org.
  34. Morelli, Giacomo & Santucci de Magistris, Paolo, 2019. "Volatility tail risk under fractionality," Journal of Banking & Finance, Elsevier, vol. 108(C).
  35. Xia Han & Peng Liu, 2024. "Robust Lambda-quantiles and extreme probabilities," Papers 2406.13539, arXiv.org.
  36. Carole Bernard & Ludger Rüschendorf & Steven Vanduffel, 2017. "Value-at-Risk Bounds With Variance Constraints," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(3), pages 923-959, September.
  37. Jonas Alm, 2015. "Signs of dependence and heavy tails in non-life insurance data," Papers 1501.00833, arXiv.org.
  38. Hofert Marius & Memartoluie Amir & Saunders David & Wirjanto Tony, 2017. "Improved algorithms for computing worst Value-at-Risk," Statistics & Risk Modeling, De Gruyter, vol. 34(1-2), pages 13-31, June.
  39. Jae Youn Ahn, 2015. "Negative Dependence Concept in Copulas and the Marginal Free Herd Behavior Index," Papers 1503.03180, arXiv.org.
  40. Mejdoub, Hanène & Ben Arab, Mounira, 2018. "Impact of dependence modeling of non-life insurance risks on capital requirement: D-Vine Copula approach," Research in International Business and Finance, Elsevier, vol. 45(C), pages 208-218.
  41. Yuyu Chen & Peng Liu & Yang Liu & Ruodu Wang, 2022. "Ordering and inequalities for mixtures on risk aggregation," Mathematical Finance, Wiley Blackwell, vol. 32(1), pages 421-451, January.
  42. Lux, Thibaut & Papapantoleon, Antonis, 2019. "Model-free bounds on Value-at-Risk using extreme value information and statistical distances," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 73-83.
  43. Takaaki Koike & Liyuan Lin & Ruodu Wang, 2022. "Joint mixability and notions of negative dependence," Papers 2204.11438, arXiv.org, revised Jan 2024.
  44. Yuyu Chen & Peng Liu & Yang Liu & Ruodu Wang, 2020. "Ordering and Inequalities for Mixtures on Risk Aggregation," Papers 2007.12338, arXiv.org, revised Jun 2021.
  45. Torres, Raúl & Lillo, Rosa E. & Laniado, Henry, 2015. "A directional multivariate value at risk," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 111-123.
  46. Mao, Tiantian & Wang, Ruodu, 2015. "On aggregation sets and lower-convex sets," Journal of Multivariate Analysis, Elsevier, vol. 138(C), pages 170-181.
  47. Yuyu Chen & Liyuan Lin & Ruodu Wang, 2021. "Risk Aggregation under Dependence Uncertainty and an Order Constraint," Papers 2104.07718, arXiv.org, revised Oct 2021.
  48. Paul Embrechts & Giovanni Puccetti & Ludger Rüschendorf & Ruodu Wang & Antonela Beleraj, 2014. "An Academic Response to Basel 3.5," Risks, MDPI, vol. 2(1), pages 1-24, February.
  49. Bjørnsen, Kjartan & Aven, Terje, 2019. "Risk aggregation: What does it really mean?," Reliability Engineering and System Safety, Elsevier, vol. 191(C).
  50. Chuancun Yin & Dan Zhu, 2016. "Sharp Convex Bounds on the Aggregate Sums–An Alternative Proof," Risks, MDPI, vol. 4(4), pages 1-8, September.
  51. Carole Bernard & Don McLeish, 2016. "Algorithms for Finding Copulas Minimizing Convex Functions of Sums," Asia-Pacific Journal of Operational Research (APJOR), World Scientific Publishing Co. Pte. Ltd., vol. 33(05), pages 1-26, October.
  52. Bignozzi, Valeria & Puccetti, Giovanni, 2015. "Studying mixability with supermodular aggregating functions," Statistics & Probability Letters, Elsevier, vol. 100(C), pages 48-55.
  53. Paul Embrechts & Bin Wang & Ruodu Wang, 2015. "Aggregation-robustness and model uncertainty of regulatory risk measures," Finance and Stochastics, Springer, vol. 19(4), pages 763-790, October.
  54. Haiyan Liu & Bin Wang & Ruodu Wang & Sheng Chao Zhuang, 2023. "Distorted optimal transport," Papers 2308.11238, arXiv.org.
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