General lower bounds on convex functionals of aggregate sums

DOI10.1016/j.insmatheco.2013.10.005zbMath1290.91081OpenAlexW2018687962MaRDI QIDQ2015660

Ka Chun 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

zbMATH Keywords

aggregate riskstail value-at-riskconvex functionalscounter-monotonicitymutual exclusivityHaezendonck-Goovaerts risk measures

Mathematics Subject Classification ID

Related Items (19)

Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables ⋮ Inference for intermediate Haezendonck-Goovaerts risk measure ⋮ Nonparametric inference for sensitivity of Haezendonck–Goovaerts risk measure ⋮ Haezendonck-Goovaerts risk measure with a heavy tailed loss ⋮ General convex order on risk aggregation ⋮ Tail mutual exclusivity and Tail-VaR lower bounds ⋮ Model-free bounds on value-at-risk using extreme value information and statistical distances ⋮ Aggregation-robustness and model uncertainty of regulatory risk measures ⋮ Dependence Uncertainty for Aggregate Risk: Examples and Simple Bounds ⋮ Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables ⋮ Empirical likelihood inference for Haezendonck-Goovaerts risk measure ⋮ Aggregating Risks with Partial Dependence Information ⋮ Second-order asymptotics of the risk concentration of a portfolio with deflated risks ⋮ A generalization of expected shortfall based capital allocation ⋮ Current open questions in complete mixability ⋮ Extreme value analysis of the Haezendonck-Goovaerts risk measure with a general Young function ⋮ Estimation of the Haezendonck-Goovaerts risk measure for extreme risks ⋮ Characterizing mutual exclusivity as the strongest negative multivariate dependence structure ⋮ On sums of two counter-monotonic risks

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