Some useful counterexamples regarding comonotonicity

MaRDI QIDQ2968271zbMATHFDO

Authors Rob Kaas, Marc J. Goovaerts, Qihe Tang

Publication date 13 March 2017

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)

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(4)

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• Value at risk and efficiency under dependence and heavy-tailedness: models with common shocks

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