Reducing risk by merging counter-monotonic risks
From MaRDI portal
Publication:2015473
DOI10.1016/j.insmatheco.2013.10.014zbMath1291.91098OpenAlexW2014778662MaRDI QIDQ2015473
Ambrose Lo, Ka Chun Cheung, Jan Dhaene, Qi-he 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
Related Items
Monotone tail functions: definitions, properties, and application to risk-reducing strategies ⋮ COLLECTIVE RISK MODELS WITH DEPENDENCE UNCERTAINTY ⋮ Characterizations of optimal reinsurance treaties: a cost-benefit approach ⋮ Tail mutual exclusivity and Tail-VaR lower bounds ⋮ A unifying approach to risk-measure-based optimal reinsurance problems with practical constraints ⋮ Optimal insurance under rank-dependent expected utility ⋮ Pairwise counter-monotonicity ⋮ OPTIMAL REINSURANCE DESIGN WITH DISTORTION RISK MEASURES AND ASYMMETRIC INFORMATION ⋮ Multivariate countermonotonicity and the minimal copulas ⋮ UNIVERSALLY MARKETABLE INSURANCE UNDER MULTIVARIATE MIXTURES ⋮ Characterizations of counter-monotonicity and upper comonotonicity by (tail) convex order ⋮ Risk reducers in convex order ⋮ Characterizing mutual exclusivity as the strongest negative multivariate dependence structure ⋮ Propensity for hedging and ambiguity aversion ⋮ On sums of two counter-monotonic risks
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Characterizing a comonotonic random vector by the distribution of the sum of its components
- Stochastic orders
- Optimal reinsurance and stop-loss order
- A general model of insurance under adverse selection
- Non-additive measure and integral
- Co-monotone allocations, Bickel-Lehmann dispersion and the Arrow-Pratt measure of risk aversion
- The concept of comonotonicity in actuarial science and finance: theory.
- Optimal insurance under Wang's premium principle.
- Characterizations of counter-monotonicity and upper comonotonicity by (tail) convex order
- Managing value-at-risk for a bond using bond put options
- Stochastic Finance
- Risk Measures and Comonotonicity: A Review
