Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables
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Cites work
- A note on generalized inverses
- Aggregation-robustness and model uncertainty of regulatory risk measures
- American-type basket option pricing: a simple two-dimensional partial differential equation
- An overview of comonotonicity and its applications in finance and insurance
- 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
- Characterizing mutual exclusivity as the strongest negative multivariate dependence structure
- Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior
- Comonotonic bounds on the survival probabilities in the Lee--Carter model for mortality projection
- Comonotonicity and maximal stop-loss premiums
- Convex majorization with an application to the length of critical paths
- Extremal dependence concepts
- Extreme negative dependence and risk aggregation
- Financial modeling, actuarial valuation and solvency in insurance
- General lower bounds on convex functionals of aggregate sums
- Joint Mixability
- Model-free bounds on value-at-risk using extreme value information and statistical distances
- Model-independent price bounds for catastrophic mortality bonds
- Modelling longevity bonds: analysing the Swiss Re Kortis bond
- Multi-population mortality models: a factor copula approach
- Multivariate extremes and the aggregation of dependent risks: examples and counter-examples
- On a class of extremal problems in statistics
- On an optimization problem related to static super-replicating strategies
- On sums of two counter-monotonic risks
- On the multidimensional extension of countermonotonicity and its applications
- Optimal hedging with basis risk under mean-variance criterion
- Ordered random vectors and equality in distribution
- Pricing and Hedging Spread Options
- Quantitative risk management. Concepts, techniques and tools
- Reducing model risk via positive and negative dependence assumptions
- Risk aggregation with dependence uncertainty
- Risk Measures and Comonotonicity: A Review
- 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
- Static super-replicating strategies for a class of exotic options
- Static-arbitrage upper bounds for the prices of basket options
- Stochastic orders
- Tail mutual exclusivity and Tail-VaR lower bounds
- The complete mixability and convex minimization problems with monotone marginal densities
- 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
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