On additivity of tail comonotonic risks

DOI10.1080/03461238.2019.1626762zbMath1426.91210OpenAlexW2950308519WikidataQ127681579 ScholiaQ127681579MaRDI QIDQ5242233

Fei Lung Yuen, Sheung Chi Phillip Yam, Ka Chun Cheung, Hok Kan Ling, Qi-he Tang

Publication date: 6 November 2019

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2019.1626762

zbMATH Keywords

regular variationextreme value theoryvalue-at-risktail dependenceconditional tail expectationmax domains of attractionupper tail comonotonicity

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32) Actuarial mathematics (91G05)

Related Items

Monotone tail functions: definitions, properties, and application to risk-reducing strategies ⋮ Measuring non-exchangeable tail dependence using tail copulas ⋮ Tail behavior of discounted portfolio loss under upper tail comonotonicity ⋮ On the uncertainty of VaR of individual risk

Uses Software

• QRM
• CopulaModel

Cites Work

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