Computation of sharp bounds on the distribution of a function of dependent risks.

Giovanni Puccetti Ludger Rüschendorf

Published in: J. Comput. Appl. Math. (2012)

Keyphrases

large deviations
upper bound
expected error
high quality
lower bound
decision making
upper and lower bounds
distribution function
uniformly distributed
probability mass
dot product
weibull distribution
data sets
probability distribution function
closed form expressions
heavy tailed
risk analysis
worst case