General lower bounds on convex functionals of aggregate sums

DOI10.1016/j.insmatheco.2013.10.005zbMath1290.91081MaRDI 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 risks; tail value-at-risk; convex functionals; counter-monotonicity; mutual exclusivity; Haezendonck-Goovaerts risk measures

Mathematics Subject Classification ID

Related Items

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

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• The herd behavior index: a new measure for the implied degree of co-movement in stock markets
• The complete mixability and convex minimization problems with monotone marginal densities
• Characterizing a comonotonic random vector by the distribution of the sum of its components
• Characterizing mutual exclusivity as the strongest negative multivariate dependence structure
• Solution of a statistical optimization problem by rearrangement methods
• Stochastic orders
• Some new classes of consistent risk measures
• A new premium calculation principle based on Orlicz norms
• The concept of comonotonicity in actuarial science and finance: theory.
• Sharp bounds on the expected shortfall for a sum of dependent random variables
• The safest dependence structure among risks.
• Risk aggregation with dependence uncertainty
• On the Haezendonck-Goovaerts risk measure for extreme risks
• On the interplay between distortion, mean value and Haezendonck-Goovaerts risk measures
• Haezendonck-Goovaerts risk measures and Orlicz quantiles
• Characterizations of counter-monotonicity and upper comonotonicity by (tail) convex order
• Advances in Complete Mixability
• Stochastic Finance
• Risk Measures and Comonotonicity: A Review
• AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT