General convex order on risk aggregation

DOI10.1080/03461238.2015.1012223zbMath1401.91148OpenAlexW1981248254MaRDI QIDQ4575373

Xiaoying Han, Ruodu Wang, Edgars Jakobsons

Publication date: 13 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2015.1012223

zbMATH Keywords

risk measuresconvex orderdependence uncertaintyrisk aggregationjoint mixabilityheterogeneous models

Mathematics Subject Classification ID

Related Items (13)

Admissible ways of merging \(p\)-values under arbitrary dependence ⋮ Diversification limit of quantiles under dependence uncertainty ⋮ Joint Mixability ⋮ Convex risk measures for the aggregation of multiple information sources and applications in insurance ⋮ COLLECTIVE RISK MODELS WITH DEPENDENCE UNCERTAINTY ⋮ Tail mutual exclusivity and Tail-VaR lower bounds ⋮ Risk aggregation under dependence uncertainty and an order constraint ⋮ Model-free bounds on value-at-risk using extreme value information and statistical distances ⋮ Analysis of risk bounds in partially specified additive factor models ⋮ Random locations of periodic stationary processes ⋮ ASYMPTOTIC EQUIVALENCE OF RISK MEASURES UNDER DEPENDENCE UNCERTAINTY ⋮ Current open questions in complete mixability ⋮ Reducing model risk via positive and negative dependence assumptions

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