2 papers
q-fin.RM2026
Hidden Dependence and Aggregate Tail Risk
Corrado De Vecchi, Max Nendel, Steven Vanduffel
We study risk aggregation problems for arbitrary non-decreasing aggregation functions and tail risk measures under dependence uncertainty in a distributionally robust setting. To t…
math.PR2026
Absolute Continuity of Monotone Aggregations under Positive Regression Dependence
Ben Goldys, Max Nendel
In this paper, we provide a sufficient condition for the absolute continuity of one-dimensional push-forwards of dependent random vectors. Suppose that has an absolutely contin…