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Dependence Modeling

Ed. by Puccetti, Giovanni

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Emerging Science

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2300-2298
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Quantile of a Mixture with Application to Model Risk Assessment

Carole Bernard / Steven Vanduffel
Published Online: 2015-10-27 | DOI: https://doi.org/10.1515/demo-2015-0012

Abstract

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].

Keywords: Model Risk; Rearrangement Algorithm; Mixture

MSC:: 60E05; 60E15

References

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About the article


Received: 2015-06-16

Accepted: 2015-10-14

Published Online: 2015-10-27


Citation Information: Dependence Modeling, ISSN (Online) 2300-2298, DOI: https://doi.org/10.1515/demo-2015-0012.

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© 2015 Carole Bernard and Steven Vanduffel. This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License. BY-NC-ND 3.0

Citing Articles

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[1]
Edgars Jakobsons and Steven Vanduffel
Risks, 2015, Volume 3, Number 4, Page 599
[2]
Giovanni Puccetti, Ludger Rüschendorf, Daniel Small, and Steven Vanduffel
Scandinavian Actuarial Journal, 2015, Page 1

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