Reducing risk by merging counter-monotonic risks

DOI10.1016/j.insmatheco.2013.10.014zbMath1291.91098OpenAlexW2014778662MaRDI QIDQ2015473

Ambrose Lo, Ka Chun Cheung, Jan Dhaene, Qi-he Tang

Publication date: 23 June 2014

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.10.014

zbMATH Keywords

comonotonicityconvex ordertail value-at-riskcounter-monotonicity

Mathematics Subject Classification ID

Portfolio theory (91G10)

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