Bounds for the sum of dependent risks and worst Value-at-Risk with monotone marginal densities.
Ruodu WangLiang PengJingping YangPublished in: Finance Stochastics (2013)
Keyphrases
- risk management
- upper bound
- risk assessment
- risk factors
- risk analysis
- probability distribution
- risk evaluation
- lower bound
- high risk
- decision making
- upper and lower bounds
- neural network
- decision support system
- objective function
- error bounds
- average case
- worst case
- linear functions
- boolean functions
- network security
- anti monotone
- risk measures
- gaussian densities
- uniform distribution
- minimum risk
- empirical risk
- risk aversion
- risk averse
- portfolio optimization
- generalization bounds