We provide an explicit expression for the quantile of a mixture of two random variables. The result is useful for finding bounds on the Value-at-Risk of risky portfolios when only partial dependence information is available. This paper complements the work of [4].
@article{bwmeta1.element.doi-10_1515_demo-2015-0012,
author = {Carole Bernard and Steven Vanduffel},
title = {Quantile of a Mixture with Application to Model Risk Assessment},
journal = {Dependence Modeling},
volume = {3},
year = {2015},
zbl = {06534020},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.doi-10_1515_demo-2015-0012}
}
Carole Bernard; Steven Vanduffel. Quantile of a Mixture with Application to Model Risk Assessment. Dependence Modeling, Tome 3 (2015) . http://gdmltest.u-ga.fr/item/bwmeta1.element.doi-10_1515_demo-2015-0012/
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