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- W2895859610 abstract "Value-at-Risk bounds for aggregated risks have been derived in the literature in settings where besides the marginal distributions of the individual risk factors one-sided bounds for the joint distribution respectively the copula of the risks are available. In applications it turns out that these improved standard bounds on Value-at-Risk tend to be too wide to be relevant for practical applications, especially when the number of risk factors is large or when the dependence restriction is not strong enough. In this paper, we develop a method to compute Value-at-Risk bounds when besides the marginal distributions of the risk factors, two-sided dependence information in form of an upper and a lower bound on the copula of the risk factors is available. The method is based on a relaxation of the exact dual bounds which we derive by means of the Monge–Kantorovich transportation duality. In several applications we illustrate that two-sided dependence information typically leads to strongly improved bounds on the Value-at-Risk of aggregations." @default.
- W2895859610 created "2018-10-26" @default.
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- W2895859610 date "2018-10-10" @default.
- W2895859610 modified "2023-09-24" @default.
- W2895859610 title "Value-at-Risk bounds with two-sided dependence information" @default.
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- W2895859610 doi "https://doi.org/10.1111/mafi.12192" @default.
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