Tail mutual exclusivity and Tail-VaR lower bounds
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Publication:4575451
DOI10.1080/03461238.2015.1084945zbMATH Open1401.91111OpenAlexW1688970804MaRDI QIDQ4575451FDOQ4575451
Authors: K. C. Cheung, J. Dhaene, Michel Denuit 
Publication date: 13 July 2018
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://papers.tinbergen.nl/15024.pdf
Recommendations
- Tail comonotonicity: properties, constructions, and asymptotic additivity of risk measures
- Characterizing mutual exclusivity as the strongest negative multivariate dependence structure
- Tail risk of multivariate regular variation
- On the Tail Behavior of Sums of Dependent Risks
- Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables
Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inequalities; stochastic orderings (60E15)
Cites Work
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- General convex order on risk aggregation
- Aggregation-robustness and model uncertainty of regulatory risk measures
- The safest dependence structure among risks.
- Convex separable minimization subject to bounded variables
- General lower bounds on convex functionals of aggregate sums
- On the multidimensional extension of countermonotonicity and its applications
- Characterizations of counter-monotonicity and upper comonotonicity by (tail) convex order
- Sharp bounds on the expected shortfall for a sum of dependent random variables
- Bounds for sums of random variables when the marginal distributions and the variance of the sum are given
- Convex separable optimization is not much harder than linear optimization
- On dependence of risks and stop-loss premiums
- Advances in complete mixability
- Reducing risk by merging counter-monotonic risks
- Does positive dependence between individual risks increase stop-loss premiums?
- Extreme negative dependence and risk aggregation
Cited In (5)
- Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables
- Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables
- Characterizing mutual exclusivity as the strongest negative multivariate dependence structure
- Pairwise counter-monotonicity
- Aggregating Risks with Partial Dependence Information
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