Reducing risk by merging counter-monotonic risks
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Publication:2015473
DOI10.1016/J.INSMATHECO.2013.10.014zbMATH Open1291.91098OpenAlexW2014778662MaRDI QIDQ2015473FDOQ2015473
Authors: K. C. Cheung, J. Dhaene, Ambrose Lo, Qihe Tang 
Publication date: 23 June 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.10.014
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Cited In (17)
- Characterizations of counter-monotonicity and upper comonotonicity by (tail) convex order
- Tail mutual exclusivity and Tail-VaR lower bounds
- Propensity for hedging and ambiguity aversion
- Optimal insurance under rank-dependent expected utility
- Risk reducers in convex order
- Optimal reinsurance design with distortion risk measures and asymmetric information
- Collective risk models with dependence uncertainty
- Universally marketable insurance under multivariate mixtures
- A unifying approach to risk-measure-based optimal reinsurance problems with practical constraints
- Monotone tail functions: definitions, properties, and application to risk-reducing strategies
- Characterizing mutual exclusivity as the strongest negative multivariate dependence structure
- Pairwise counter-monotonicity
- Characterizations of optimal reinsurance treaties: a cost-benefit approach
- On sums of two counter-monotonic risks
- A unified theory of decentralized insurance
- A new characterization of second-order stochastic dominance
- Multivariate countermonotonicity and the minimal copulas
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