Tail mutual exclusivity and Tail-VaR lower bounds

DOI10.1080/03461238.2015.1084945MaRDI QIDQ4575451zbMATHOpenAlexFDO

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

zbMATH Keywords

risk measuresstop-loss transformmutual exclusivitytail convex order

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inequalities; stochastic orderings (60E15)

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• Tail comonotonicity: properties, constructions, and asymptotic additivity of risk measures
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Cites work

• Advances in complete mixability
• Aggregation-robustness and model uncertainty of regulatory risk measures
• An introduction to copulas.
• Bounds for sums of random variables when the marginal distributions and the variance of the sum are given
• Characterizations of counter-monotonicity and upper comonotonicity by (tail) convex order
• Convex separable minimization subject to bounded variables
• Convex separable optimization is not much harder than linear optimization
• Does positive dependence between individual risks increase stop-loss premiums?
• Extreme negative dependence and risk aggregation
• General convex order on risk aggregation
• General lower bounds on convex functionals of aggregate sums
• On dependence of risks and stop-loss premiums
• On the multidimensional extension of countermonotonicity and its applications
• Reducing risk by merging counter-monotonic risks
• Risk aggregation with dependence uncertainty
• Sharp bounds on the expected shortfall for a sum of dependent random variables
• Stochastic finance. An introduction in discrete time.
• The safest dependence structure among risks.

Cited in

(5)

• Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables
• Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables
• Aggregating risks with partial dependence information
• Pairwise counter-monotonicity
• Characterizing mutual exclusivity as the strongest negative multivariate dependence structure

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