Bounds for functions of multivariate risks
Bounds for functions of multivariate risks
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DOI：
10.1016/j.jmva.2005.04.001
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发表时间：
2006-02
影响因子：
1.6
通讯作者：
P. Embrechts;Giovanni Puccetti-
中科院分区：
文献类型：
--
作者：
P. Embrechts;Giovanni Puccetti-
Li et al. [Distributions with Fixed Marginals and Related Topics，vol. 28，Institute of Mathematics and Statistics，海沃德，CA，1996，pp. 198-212]提供了具有固定多变量边缘的相依随机向量的函数的分布和尾部的界限。本文修正了文[1]中的一个结果，并在同分布随机向量和的情形下给出了改进的界。此外，我们提供的依赖结构满足边界时，固定的边缘是均匀分布的k维超立方体。最后，一个多变量的风险度量的定义是沿着与精算/金融应用。
Li et al. [Distributions with Fixed Marginals and Related Topics, vol. 28, Institute of Mathematics and Statistics, Hayward, CA, 1996, pp. 198–212] provide bounds on the distribution and on the tail for functions of dependent random vectors having fixed multivariate marginals. In this paper, we correct a result stated in the above article and we give improved bounds in the case of the sum of identically distributed random vectors. Moreover, we provide the dependence structures meeting the bounds when the fixed marginals are uniformly distributed on the k-dimensional hypercube. Finally, a definition of a multivariate risk measure is given along with actuarial/financial applications.