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Dual utilities on risk aggregation under dependence uncertainty

Wang, RD; Xu, ZQ; Zhou, XY

Wang, RD (reprint author), Univ Waterloo, Dept Stat & Actuarial Sci, Waterloo, ON, Canada.

FINANCE AND STOCHASTICS, 2019; 23 (4): 1025

Abstract

Finding the worst-case value of a preference over a set of plausible models is a well-established approach to address the issue of model uncertainty o......

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