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…
q-fin.RM2024
Upper Comonotonicity and Risk Aggregation under Dependence Uncertainty
Corrado De Vecchi, Max Nendel, Jan Streicher
In this paper, 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…