Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables (Q5887316)
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scientific article; zbMATH DE number 7675708
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| English | Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables |
scientific article; zbMATH DE number 7675708 |
Statements
Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables (English)
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18 April 2023
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counter-monotonicity
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extreme negative dependence
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decomposition formulas
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tail value-at-risk
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stop-loss transform
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0.8781635761260986
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0.8038350939750671
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0.8016626238822937
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0.7973548769950867
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0.7943310141563416
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