Extreme negative dependence and risk aggregation

DOI10.1016/j.jmva.2015.01.006zbMath1329.60047arXiv1407.6848OpenAlexW2100282405MaRDI QIDQ2018593

Bin Wang, Ruodu Wang

Publication date: 24 March 2015

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1407.6848

zbMATH Keywords

central limit theoremvariance reductionnegative dependencesums of random variablesrisk aggregation

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Central limit and other weak theorems (60F05)

Related Items (14)

Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables ⋮ Risk bounds for factor models ⋮ How Superadditive Can a Risk Measure Be? ⋮ COLLECTIVE RISK MODELS WITH DEPENDENCE UNCERTAINTY ⋮ Tail mutual exclusivity and Tail-VaR lower bounds ⋮ Deviations and asymptotic behavior of convex and coherent entropic risk measures for compound Poisson process influenced by jump times ⋮ Aggregation-robustness and model uncertainty of regulatory risk measures ⋮ Coskewness under dependence uncertainty ⋮ A review on ambiguity in stochastic portfolio optimization ⋮ ASYMPTOTIC EQUIVALENCE OF RISK MEASURES UNDER DEPENDENCE UNCERTAINTY ⋮ Extremal dependence concepts ⋮ Negative Dependence, Scrambled Nets, and Variance Bounds ⋮ Characterization, Robustness, and Aggregation of Signed Choquet Integrals ⋮ On aggregation sets and lower-convex sets

Uses Software

• QRM

Cites Work

• The complete mixability and convex minimization problems with monotone marginal densities
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• Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities
• Risk aggregation with dependence uncertainty
• Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates
• Coherent Measures of Risk
• Mathematical Risk Analysis
• An Overview of Comonotonicity and Its Applications in Finance and Insurance
• Optimal Transport
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