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 .
Dependence Modeling aims to provide a medium for exchanging results and ideas in the area of multivariate dependence modeling. Topics include Copula methods, environmental sciences, estimation and goodness-of-fit tests, extreme-value theory, limit laws, mass transportations, measures of association, multivariate distributions and tests, quantitative risk management, risk assessment, risk models, risk measures and stochastic orders and time series.