Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables
The paper analyzes the difference of stop-loss payoffs where the underlying is a difference of two random variables, aiming to use their comonotonic and countermonotonic modifications to construct upper and lower bounds for the expected payoff, even though the payoff function is neither convex nor concave. After introducing the main notations and preliminary tools, the analysis focuses on the conditions that determine bounds by virtue of comonotonicity and countermonotonicity. A detailed discussion involves the crossing points of the cumulative distribution function (cdf) of the original difference with the cdf's of its comonotonic and countermonotonic transforms. Then, a numerical study of longevity trend bonds, using different mortality models and population data, exemplifies the results. Technical details and proofs are in appendix.
- Upper stop-loss bounds for sums of possibly dependent risks with given means and variances
- Stop-loss premiums under dependence
- Bounds for stop-loss premium under restrictions on \(I\)-divergence
- On dependence of risks and stop-loss premiums
- scientific article; zbMATH DE number 232288
- Upper and lower bounds for stop-loss premiums in a discrete time risk process
- A common age effect model for the mortality of multiple populations
- A comparative study of two-population models for the assessment of basis risk in longevity hedges
- Analyzing mortality bond indexes via hierarchical forecast reconciliation
- Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities
- Bounds on the value-at-risk for the sum of possibly dependent risks
- Comonotonicity and maximal stop-loss premiums
- Computing bounds on the expected payoff of Alternative Risk Transfer products
- Convex majorization with an application to the length of critical paths
- Estimation of crossing points of continuous distribution functions
- Extensions of Ohlin's lemma with applications to optimal reinsurance structures
- Four notions of mean-preserving increase in risk, risk attitudes and applications to the rank-dependent expected utility model
- General lower bounds on convex functionals of aggregate sums
- scientific article; zbMATH DE number 5522381 (Why is no real title available?)
- scientific article; zbMATH DE number 3692432 (Why is no real title available?)
- Inference for the crossing point of two continuous cdf's
- Keeping some skin in the game: how to start a capital market in longevity risk transfers
- Longevity risk and capital markets: the 2015--16 update
- Model-independent price bounds for catastrophic mortality bonds
- Modelling longevity bonds: analysing the Swiss Re Kortis bond
- Monotone tail functions: definitions, properties, and application to risk-reducing strategies
- Multi-population mortality models: a factor copula approach
- Multi-population mortality models: fitting, forecasting and comparisons
- On sums of two counter-monotonic risks
- Optimal reinsurance with expectile
- Optimal reinsurance with general premium principles
- Reducing model risk via positive and negative dependence assumptions
- Sharp bounds on the expected shortfall for a sum of dependent random variables
- Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios
- Solution of a statistical optimization problem by rearrangement methods
- Some useful counterexamples regarding comonotonicity
- Static-arbitrage upper bounds for the prices of basket options
- Statistical inference on comparing two distribution functions with a possible crossing point.
- Stochastic orders
- Tail mutual exclusivity and Tail-VaR lower bounds
- The concept of comonotonicity in actuarial science and finance: applications.
- The concept of comonotonicity in actuarial science and finance: theory.
- The safest dependence structure among risks.
- Upper and lower bounds for sums of random variables
- Worst VaR scenarios
This page was built for publication: Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2682971)
