General lower bounds on convex functionals of aggregate sums
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Publication:2015660
DOI10.1016/J.INSMATHECO.2013.10.005zbMATH Open1290.91081OpenAlexW2018687962MaRDI QIDQ2015660FDOQ2015660
Authors: K. C. Cheung, Ambrose Lo 
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.2013.10.005
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tail value-at-riskconvex functionalscounter-monotonicitymutual exclusivityHaezendonck-Goovaerts risk measuresaggregate risks
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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
- General convex order on risk aggregation
- On aggregation sets and lower-convex sets
- 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
- Title not available (Why is that?)
- Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables
- Aggregation-robustness and model uncertainty of regulatory risk measures
- 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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