## Frechet inequalities via convex optimization

Quantifying the risk carried by an aggregate position $S_d\defn\sum_{i=1}^d X_i$ comprising many risk factors $X_i$ is fundamental to both insurance and financial risk management. Frechet inequalities quantify the worst-case risk carried by the aggregate position given distributional information concerning its composing factors but without assuming independence. This marginal factor modeling of the aggregate position in … Read more