On sums of two counter-monotonic risks

DOI10.1016/J.INSMATHECO.2020.02.010MaRDI QIDQ784393zbMATH OpenOpenAlexFDO

Authors Ihsan Chaoubi, Hélène Cossette, Simon-Pierre Gadoury, É. Marceau

Publication date 3 August 2020

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2020.02.010

zbMATH Keywords

counter-monotonicitydiversification benefitextreme negative dependencerisk measuressubexponential distributions

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Statistical methods; risk measures (91G70)

Recommendations

• Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables
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• Capital requirements, risk measures and comonotonicity

Cites work

• A note on the computation of sharp numerical bounds for the distribution of the sum, product or ratio of dependent risks
• Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness
• Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities
• Characterizations of counter-monotonicity and upper comonotonicity by (tail) convex order
• Characterizing mutual exclusivity as the strongest negative multivariate dependence structure
• Comonotonicity and maximal stop-loss premiums
• Comparison methods for stochastic models and risks
• Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates
• Dispersive ordering-some applications and examples
• Diversification of aggregate dependent risks
• Extremal dependence concepts
• General lower bounds on convex functionals of aggregate sums
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
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• On the multidimensional extension of countermonotonicity and its applications
• On the Tail Behavior of Sums of Dependent Risks
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• Reducing risk by merging counter-monotonic risks
• Reinsurance. Actuarial and statistical aspects
• Risk Measures and Comonotonicity: A Review
• Sharp Upper and Lower Bounds for Basket Options
• Static-arbitrage optimal subreplicating strategies for basket options
• Static-arbitrage upper bounds for the prices of basket options
• Stochastic orders
• Tail approximations for sums of dependent regularly varying random variables under Archimedean copula models
• The complete mixability and convex minimization problems with monotone marginal densities
• The concept of comonotonicity in actuarial science and finance: theory.
• The herd behavior index: a new measure for the implied degree of co-movement in stock markets
• The safest dependence structure among risks.

Cited in

(7)

• Reducing risk by merging counter-monotonic risks
• Monotone tail functions: definitions, properties, and application to risk-reducing strategies
• Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables
• Some useful counterexamples regarding comonotonicity
• Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables
• Pairwise counter-monotonicity
• A unified theory of decentralized insurance

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• QRM

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