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Bounds for functions of multivariate risks

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Cited by:

  1. Matthieu Garcin & Dominique Guegan & Bertrand Hassani, 2018. "A novel multivariate risk measure: the Kendall VaR," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01467857, HAL.
  2. Matthieu Garcin & Dominique Guegan & Bertrand Hassani, 2018. "A novel multivariate risk measure: the Kendall VaR," Post-Print halshs-01467857, HAL.
  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. Wenjun Jiang & Jiandong Ren & Ričardas Zitikis, 2017. "Optimal Reinsurance Policies under the VaR Risk Measure When the Interests of Both the Cedent and the Reinsurer Are Taken into Account," Risks, MDPI, vol. 5(1), pages 1-22, February.
  5. Molchanov, Ilya, 2013. "Multivariate risk measures : a constructive approach based on selections," DES - Working Papers. Statistics and Econometrics. WS ws130101, Universidad Carlos III de Madrid. Departamento de Estadística.
  6. Hamel, Andreas H. & Kostner, Daniel, 2018. "Cone distribution functions and quantiles for multivariate random variables," Journal of Multivariate Analysis, Elsevier, vol. 167(C), pages 97-113.
  7. Fan, Yanqin & Henry, Marc, 2023. "Vector copulas," Journal of Econometrics, Elsevier, vol. 234(1), pages 128-150.
  8. Di Bernardino, Elena & Rullière, Didier, 2013. "Distortions of multivariate distribution functions and associated level curves: Applications in multivariate risk theory," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 190-205.
  9. 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.
  10. Ra'ul Torres & Rosa E. Lillo & Henry Laniado, 2015. "A Directional Multivariate Value at Risk," Papers 1502.00908, arXiv.org.
  11. Dominique Guegan & Bertrand K. Hassani, 2019. "Risk Measurement," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-02119256, HAL.
  12. Klaus Herrmann & Marius Hofert & Melina Mailhot, 2017. "Multivariate Geometric Expectiles," Papers 1704.01503, arXiv.org, revised Jan 2018.
  13. Paul Embrechts, 2009. "Copulas: A Personal View," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(3), pages 639-650, September.
  14. Morelli, Giacomo & Santucci de Magistris, Paolo, 2019. "Volatility tail risk under fractionality," Journal of Banking & Finance, Elsevier, vol. 108(C).
  15. Wei, Linxiao & Hu, Yijun, 2014. "Coherent and convex risk measures for portfolios with applications," Statistics & Probability Letters, Elsevier, vol. 90(C), pages 114-120.
  16. Embrechts, Paul & Puccetti, Giovanni, 2010. "Bounds for the sum of dependent risks having overlapping marginals," Journal of Multivariate Analysis, Elsevier, vol. 101(1), pages 177-190, January.
  17. Christian Genest & Johanna G. Nešlehová, 2020. "A Conversation With Paul Embrechts," International Statistical Review, International Statistical Institute, vol. 88(3), pages 521-547, December.
  18. Di Bernardino, E. & Fernández-Ponce, J.M. & Palacios-Rodríguez, F. & Rodríguez-Griñolo, M.R., 2015. "On multivariate extensions of the conditional Value-at-Risk measure," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 1-16.
  19. Roba Bairakdar & Lu Cao & Melina Mailhot, 2020. "Range Value-at-Risk: Multivariate and Extreme Values," Papers 2005.12473, arXiv.org.
  20. Sordo, Miguel A., 2016. "A multivariate extension of the increasing convex order to compare risks," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 224-230.
  21. Raphael Hauser & Sergey Shahverdyan & Paul Embrechts, 2014. "A General Duality Relation with Applications in Quantitative Risk Management," Papers 1410.0852, arXiv.org.
  22. Yanqin Fan & Marc Henry, 2020. "Vector copulas," Papers 2009.06558, arXiv.org, revised Apr 2021.
  23. Cousin, Areski & Di Bernardino, Elena, 2014. "On multivariate extensions of Conditional-Tail-Expectation," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 272-282.
  24. Archil Gulisashvili & Peter Tankov, 2013. "Tail behavior of sums and differences of log-normal random variables," Papers 1309.3057, arXiv.org, revised Jan 2016.
  25. Anulekha Dhara & Bikramjit Das & Karthik Natarajan, 2021. "Worst-Case Expected Shortfall with Univariate and Bivariate Marginals," INFORMS Journal on Computing, INFORMS, vol. 33(1), pages 370-389, January.
  26. Michele, Carlo de & Laniado Rodas, Henry, 2016. "Directional multivariate extremes in environmental phenomena," DES - Working Papers. Statistics and Econometrics. WS 23419, Universidad Carlos III de Madrid. Departamento de Estadística.
  27. 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.
  28. Ignacio Cascos & Ilya Molchanov, 2006. "Multivariate risks and depth-trimmed regions," Papers math/0606520, arXiv.org, revised Nov 2006.
  29. Elena Di Bernardino & Didier Rullière, 2012. "Distortions of multivariate risk measures: a level-sets based approach," Working Papers hal-00756387, HAL.
  30. Hamza Ennaji & Quentin Mérigot & Luca Nenna & Brendan Pass, 2024. "Robust Risk Management via Multi-marginal Optimal Transport," Journal of Optimization Theory and Applications, Springer, vol. 202(2), pages 554-581, August.
  31. 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.
  32. Goncalves Marcelo & Kolev Nikolai & Fabris Antonio, 2008. "Bounds for Distorted Risk Measures," Stochastics and Quality Control, De Gruyter, vol. 23(2), pages 243-255, January.
  33. Elena Bernardino & Thomas Laloë & Rémi Servien, 2015. "Estimating covariate functions associated to multivariate risks: a level set approach," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 78(5), pages 497-526, July.
  34. Beck, Nicholas & Di Bernardino, Elena & Mailhot, Mélina, 2021. "Semi-parametric estimation of multivariate extreme expectiles," Journal of Multivariate Analysis, Elsevier, vol. 184(C).
  35. Areski Cousin & Elena Di Bernadino, 2011. "On Multivariate Extensions of Value-at-Risk," Papers 1111.1349, arXiv.org, revised Apr 2013.
  36. Elena Di Bernardino & Didier Rullière, 2015. "Estimation of multivariate critical layers: Applications to rainfall data," Post-Print hal-00940089, HAL.
  37. Areski Cousin & Elena Di Bernadino, 2013. "On Multivariate Extensions of Value-at-Risk," Working Papers hal-00638382, HAL.
  38. Ludger Rüschendorf, 2012. "Worst case portfolio vectors and diversification effects," Finance and Stochastics, Springer, vol. 16(1), pages 155-175, January.
  39. Cousin, Areski & Di Bernardino, Elena, 2013. "On multivariate extensions of Value-at-Risk," Journal of Multivariate Analysis, Elsevier, vol. 119(C), pages 32-46.
  40. Goncalves Marcelo & Kolev Nikolai & Fabris Antonio Elias, 2008. "Bounds for Quantile-Based Risk Measures of Functions of Dependent Random Variables," Stochastics and Quality Control, De Gruyter, vol. 23(1), pages 55-70, January.
  41. Guillén, Montserrat & Sarabia, José María & Prieto, Faustino, 2013. "Simple risk measure calculations for sums of positive random variables," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 273-280.
  42. Elena Di Bernardino & Clémentine Prieur, 2014. "Estimation of multivariate conditional-tail-expectation using Kendall's process," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 26(2), pages 241-267, June.
  43. Yuyu Chen & Liyuan Lin & Ruodu Wang, 2021. "Risk Aggregation under Dependence Uncertainty and an Order Constraint," Papers 2104.07718, arXiv.org, revised Oct 2021.
  44. Ruodu Wang & Liang Peng & Jingping Yang, 2013. "Bounds for the sum of dependent risks and worst Value-at-Risk with monotone marginal densities," Finance and Stochastics, Springer, vol. 17(2), pages 395-417, April.
  45. Millossovich, Pietro & Tsanakas, Andreas & Wang, Ruodu, 2024. "A theory of multivariate stress testing," European Journal of Operational Research, Elsevier, vol. 318(3), pages 851-866.
  46. Polanski, Arnold & Stoja, Evarist & Zhang, Ren, 2013. "Multidimensional risk and risk dependence," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3286-3294.
  47. Puccetti, Giovanni & Scarsini, Marco, 2010. "Multivariate comonotonicity," Journal of Multivariate Analysis, Elsevier, vol. 101(1), pages 291-304, January.
  48. Areski Cousin & Elena Di Bernardino, 2013. "On Multivariate Extensions of Conditional-Tail-Expectation," Working Papers hal-00877386, HAL.
  49. Zhu, Yunzhou & Chi, Yichun & Weng, Chengguo, 2014. "Multivariate reinsurance designs for minimizing an insurer’s capital requirement," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 144-155.
  50. Anulekha Dhara & Bikramjit Das & Karthik Natarajan, 2017. "Worst-Case Expected Shortfall with Univariate and Bivariate Marginals," Papers 1701.04167, arXiv.org.
  51. Elena Di Bernardino & Thomas Laloë & Véronique Maume-Deschamps & Clémentine Prieur, 2013. "Plug-in estimation of level sets in a non-compact setting with applications in multivariate risk theory," Post-Print hal-00580624, HAL.
  52. Molchanov, Ilya, 2006. "Multivariate risks and depth-trimmed regions," DES - Working Papers. Statistics and Econometrics. WS ws063815, Universidad Carlos III de Madrid. Departamento de Estadística.
  53. Matthieu Garcin & Dominique Guegan & Bertrand Hassani, 2017. "A novel multivariate risk measure: the Kendall VaR," Documents de travail du Centre d'Economie de la Sorbonne 17008, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  54. Hélène Cossette & Mélina Mailhot & Étienne Marceau & Mhamed Mesfioui, 2016. "Vector-Valued Tail Value-at-Risk and Capital Allocation," Methodology and Computing in Applied Probability, Springer, vol. 18(3), pages 653-674, September.
  55. repec:hal:wpaper:hal-00750873 is not listed on IDEAS
  56. Matthieu Garcin & Dominique Guegan & Bertrand Hassani, 2017. "A novel multivariate risk measure: the Kendall VaR," Documents de travail du Centre d'Economie de la Sorbonne 17008r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Apr 2018.
  57. Xuan Vinh Doan & Karthik Natarajan, 2012. "On the Complexity of Nonoverlapping Multivariate Marginal Bounds for Probabilistic Combinatorial Optimization Problems," Operations Research, INFORMS, vol. 60(1), pages 138-149, February.
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