Nelsen et al. [20] find bounds for bivariate distribution functions when there are constraints on the values of its quartiles. Tankov [25] generalizes this work by giving explicit expressions for the best upper and lower bounds for a bivariate copula when its values on a compact subset of [0; 1]2 are known. He shows that they are quasi-copulas and not necessarily copulas. Tankov [25] and Bernard et al. [3] both give sufficient conditions for these bounds to be copulas. In this note we give weaker sufficient conditions to ensure that both bounds are simultaneously copulas. Furthermore, we develop a novel application to quantitative risk management by computing bounds on a bivariate risk measure. This can be useful in optimal portfolio selection, in reinsurance, in pricing bivariate derivatives or in determining capital requirements when only partial information on dependence is available.
@article{bwmeta1.element.doi-10_2478_demo-2013-0002,
author = {Carole Bernard and Yuntao Liu and Niall MacGillivray and Jinyuan Zhang},
title = {Bounds on Capital Requirements For Bivariate Risk with Given Marginals and Partial Information on the Dependence},
journal = {Dependence Modeling},
volume = {1},
year = {2013},
pages = {37-53},
zbl = {06297671},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.doi-10_2478_demo-2013-0002}
}
Carole Bernard; Yuntao Liu; Niall MacGillivray; Jinyuan Zhang. Bounds on Capital Requirements For Bivariate Risk with Given Marginals and Partial Information on the Dependence. Dependence Modeling, Tome 1 (2013) pp. 37-53. http://gdmltest.u-ga.fr/item/bwmeta1.element.doi-10_2478_demo-2013-0002/
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