RT working paper
T1 Stochastic Bounds for Conditional Distributions Under Positive Dependence
A1 Sordo Díaz, Miguel Ángel
A1 Suárez Llorens, Alfonso
A1 Bello Espina, Alfonso José
A2 Estadística e Investigación Operativa
AB We provide stochastic bounds for conditional distributions of individual risks in a portfolio, given that the aggregate risk exceeds its value at risk. Expectations of these conditional distributions can be interpreted as marginal risk contributions to the aggregate risk as measured by the tail conditional expectation. We first provide general lower and upper stochastic bounds and then we obtain further improvements of the bounds in the case of a portfolio consisting of dependent risks. We also derive new characterizations of comonotonic random vectors.
YR 2013
FD 2013-04-04T00:00:00Z
LK http://hdl.handle.net/10498/15128
UL http://hdl.handle.net/10498/15128
LA eng
NO Miguel A. Sordo and Alfonso Suarez-Llorens acknowledge the support of Ministerio de Ciencia e Innovación (grant MTM2009-08326) and Consejería de Economía Innovación y Ciencia (grant P09-SEJ-4739).
DS Repositorio Institucional de la Universidad de Cádiz
RD 12-nov-2026