Journal
GENEVA RISK AND INSURANCE REVIEW
Volume 31, Issue 2, Pages 71-90Publisher
PALGRAVE MACMILLAN LTD
DOI: 10.1007/s10713-006-0556-6
Keywords
risk aggregation; dependency bounds; operational risk; mass transportation duality theorem; global optimization
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We describe a numerical procedure to obtain bounds on the distribution function of a sum of n dependent risks having fixed marginals. With respect to the existing literature, our method provides improved bounds and can be applied also to large non-homogeneous portfolios of risks. As an application, we compute the VaR-based minimum capital requirement for a portfolio of operational risk losses.
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