Some useful counterexamples regarding comonotonicity

MaRDI QIDQ2968271zbMATH OpenFDO

Authors Rob Kaas, Marc J. Goovaerts, Qihe Tang

Publication date 13 March 2017

zbMATH Keywords

comonotonicityrisk orderssubexponential distributionsvalue-at-risk

Mathematics Subject Classification ID

Characterization and structure theory of statistical distributions (62E10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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(4)

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• Portfolio diversification under local and moderate deviations from power laws

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