Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables
From MaRDI portal
Publication:2682971
Recommendations
- 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
Cites work
- 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
Cited in
(3)
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)
