MEASURING PORTFOLIO RISK UNDER PARTIAL DEPENDENCE INFORMATION
研究了当投资组合中各资产边际分布已知但依赖关系未知时，如何利用部分依赖信息（如高阶矩）收紧风险度量（如风险价值）的边界，并发现用组合均值替代边际分布信息不会显著损失信息，可用于评估偿付能力II等资本聚合公式对总资本的低估程度。
Abstract The bounds for risk measures of a portfolio when its components have known marginal distributions but the dependence among the risks is unknown are often too wide to be useful in practice. Moreover, availability of additional dependence information, such as knowledge of some higher‐order moments, makes the problem significantly more difficult. We show that replacing knowledge of the marginal distributions with knowledge of the mean of the portfolio does not result in significant loss of information when estimating bounds on value‐at‐risk. These results are used to assess the margin by which total capital can be underestimated when using the Solvency II or RBC capital aggregation formulas.