Bounds on Capital Requirements For Bivariate Risk with Given Marginals and Partial Information on the Dependence
Nelsen et al. [20] find bounds for bivariate distribution functions when there are constraints on the values of its quartiles. Tankov [25] generalizes this work by giving explicit expressions for the best upper and lower bounds for a bivariate copula when its values on a compact subset of [0; 1]2 ar...
Furkejuvvon:
| Váldodahkkit: | , , , |
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| Materiálatiipa: | Artigo |
| Giella: | Inglês |
| Almmustuhtton: |
De Gruyter
2013-01-01
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| Ráidu: | Dependence Modeling |
| Fáttát: | |
| Liŋkkat: | https://doi.org/10.2478/demo-2013-0002 |
| Fáddágilkorat: |
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