Séminaire du CIMMUL-Quantact | Max Nendel
Pavillon Vachon 1045 Avenue de la Médecine, Québec, Québec, CanadaUpper Comonotonicity and Risk Aggregation under Dependence Uncertainty Max Nendel University of Waterloo Résumé In this talk, we study dependence uncertainty and the resulting effects on tail risk measures, which play a fundamental role in modern risk management. We introduce the notion of a regular dependence measure, defined on multi-marginal couplings, as a generalization of […]