Reducing risk by merging counter-monotonic risks

DOI10.1016/J.INSMATHECO.2013.10.014MaRDI QIDQ2015473zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

comonotonicityconvex ordercounter-monotonicitytail value-at-risk

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• A general model of insurance under adverse selection
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• Characterizing a comonotonic random vector by the distribution of the sum of its components
• Co-monotone allocations, Bickel-Lehmann dispersion and the Arrow-Pratt measure of risk aversion
• Comparison methods for stochastic models and risks
• scientific article; zbMATH DE number 1713116 (Why is no real title available?)
• scientific article; zbMATH DE number 3646134 (Why is no real title available?)
• Managing value-at-risk for a bond using bond put options
• Non-additive measure and integral
• Optimal insurance under Wang's premium principle.
• Optimal reinsurance and stop-loss order
• Risk Measures and Comonotonicity: A Review
• Stochastic finance. An introduction in discrete time.
• Stochastic orders
• The concept of comonotonicity in actuarial science and finance: theory.

Cited in

(19)

• Propensity for hedging and ambiguity aversion
• Monotone tail functions: definitions, properties, and application to risk-reducing strategies
• Optimal insurance under rank-dependent expected utility
• Characterizations of counter-monotonicity and upper comonotonicity by (tail) convex order
• Risk reducers in convex order
• 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
• Multivariate countermonotonicity and the minimal copulas
• Optimal reinsurance design with distortion risk measures and asymmetric information
• Universally marketable insurance under multivariate mixtures
• Pairwise counter-monotonicity
• A unified theory of decentralized insurance
• A new characterization of second-order stochastic dominance
• On convex order and supermodular order without finite mean
• Counter-monotonic risk sharing with heterogeneous distortion risk measures
• Characterizing mutual exclusivity as the strongest negative multivariate dependence structure
• On sums of two counter-monotonic risks

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