Some useful counterexamples regarding comonotonicity

zbMATH Open1357.91019MaRDI QIDQ2968271FDOQ2968271

Authors: Rob Kaas, Marc J. Goovaerts, Qihe Tang 

Publication date: 13 March 2017

Recommendations

• On sums of two counter-monotonic risks
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zbMATH Keywords

value-at-riskcomonotonicitysubexponential distributionsrisk orders

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory of statistical distributions (62E10)

Cited In (4)

• A large deviation result for aggregate claims with dependent claim occurrences
• Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables
• Value at risk and efficiency under dependence and heavy-tailedness: models with common shocks
• Portfolio diversification under local and moderate deviations from power laws

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