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Restrictions on the Dependence Structure

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Abstract

In this chapter we consider some types of restrictions on the dependence structure which reduce the Fréchet class of all possible dependence structures as considered in the previous chapters. In consequence this leads to better bounds on the distribution function and on the tail probability of the aggregate risk when this information is available. One type of restriction we discuss is the restriction to some types of positive dependent distributions. This restriction leads to essential improvements of the bounds, when available.

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Authors and Affiliations

  1. Department of Mathematical Stochastics, University of Freiburg, Freiburg, Germany

    Ludger Rüschendorf

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  1. Ludger Rüschendorf
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Rüschendorf, L. (2013). Restrictions on the Dependence Structure. In: Mathematical Risk Analysis. Springer Series in Operations Research and Financial Engineering. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-33590-7_5

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