General lower bounds on convex functionals of aggregate sums
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tail value-at-riskconvex functionalscounter-monotonicitymutual exclusivityHaezendonck-Goovaerts risk measuresaggregate risks
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Cites work
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- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- A new premium calculation principle based on Orlicz norms
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- Advances in complete mixability
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- Characterizing a comonotonic random vector by the distribution of the sum of its components
- Characterizing mutual exclusivity as the strongest negative multivariate dependence structure
- Haezendonck-Goovaerts risk measures and Orlicz quantiles
- On the Haezendonck-Goovaerts risk measure for extreme risks
- On the interplay between distortion, mean value and Haezendonck-Goovaerts risk measures
- Risk Measures and Comonotonicity: A Review
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Cited in
(21)- Extreme value analysis of the Haezendonck-Goovaerts risk measure with a general Young function
- Tail mutual exclusivity and Tail-VaR lower bounds
- Aggregating risks with partial dependence information
- On aggregation sets and lower-convex sets
- General convex order on risk aggregation
- A generalization of expected shortfall based capital allocation
- Nonparametric inference for sensitivity of Haezendonck-Goovaerts risk measure
- Dependence uncertainty for aggregate risk: examples and simple bounds
- scientific article; zbMATH DE number 7239793 (Why is no real title available?)
- Aggregation-robustness and model uncertainty of regulatory risk measures
- Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables
- Inference for intermediate Haezendonck-Goovaerts risk measure
- Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables
- Characterizing mutual exclusivity as the strongest negative multivariate dependence structure
- Empirical likelihood inference for Haezendonck-Goovaerts risk measure
- Model-free bounds on value-at-risk using extreme value information and statistical distances
- Current open questions in complete mixability
- On sums of two counter-monotonic risks
- Estimation of the Haezendonck-Goovaerts risk measure for extreme risks
- Haezendonck-Goovaerts risk measure with a heavy tailed loss
- Second-order asymptotics of the risk concentration of a portfolio with deflated risks
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