Worst VaR scenarios with given marginals and measures of association

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Multivariate distribution defined with Farlie–Gumbel–Morgenstern copula and mixed Erlang marginals: Aggregation and capital allocation (2013, unknown): “The class of mixed Erlang distributions has many interesting features which are discussed in detail notably in Willmot and Lin (2010) (see also references therein).”
Improved Fréchet Bounds and Model-Free Pricing of Multi-Asset Options (2010, background): “[6], who computed worst-case bounds on the Value at Risk of a portfolio of two assets when the marginals and a measure of association are known.”
Copulas in Econometrics (2014, background): “Kaas et al. (2009) present the worst VaR of Z when additional information on the dependence between X and Y is available.”
The Bivariate Normal Copula (2009, background): “For example, Kaas et al. (2009) show that relevant quantities, such as quantiles (often termed Value-at-Risk in finance applications), may vary widely even when the marginal distributions are known and the value of a measure of concordance is given.”
Risk aggregation with dependence uncertainty (2014, background): “The special scenario X = (F−11 (U), · · · , F−1n (U)) is called the comonotonic dependence scenario (Kaas et al. (2009)).”