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Duality in risk aggregation

Abstract:

A fundamental problem in risk management is the robust aggregation of different sources of risk in a situation where little or no data are available to infer information about their dependencies. A popular approach to solving this problem is to formulate an optimization problem under which one maximizes a risk measure over all multivariate distributions that are consistent with the available data. In several special cases of such models, there exist dual problems that are easier to solve or a...

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Publication status:
Published
Peer review status:
Peer reviewed
Version:
Publisher's version

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Publisher copy:
10.1007/978-3-319-09114-3_22

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Institution:
University of Oxford
Division:
MPLS Division
Department:
Mathematical Institute
Oxford college:
Pembroke College
ORCID:
0000-0003-4549-9047
Shahverdyan, S More by this author
Embrechts, P More by this author

Contributors

Role:
Editor
Role:
Editor
Role:
Editor
Publisher:
Springer, Cham Publisher's website
Volume:
99
Pages:
375-392
Series:
Springer Proceedings in Mathematics and Statistics
Host title:
Innovations in Quantitative Risk Management
Publication date:
2015-01-10
DOI:
Pubs id:
pubs:871256
URN:
uri:2b87110a-f06b-4cc0-bb2b-2a6726b5984b
UUID:
uuid:2b87110a-f06b-4cc0-bb2b-2a6726b5984b
Local pid:
pubs:871256
ISBN:
978-3-319-09114-3
Keywords:

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