Tail mutual exclusivity and Tail-VaR lower bounds
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Publication:4575451
DOI10.1080/03461238.2015.1084945zbMath1401.91111OpenAlexW1688970804MaRDI QIDQ4575451
Jan Dhaene, Ka Chun Cheung, Michel M. Denuit
Publication date: 13 July 2018
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://papers.tinbergen.nl/15024.pdf
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Related Items (4)
Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables ⋮ Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables ⋮ Pairwise counter-monotonicity ⋮ Aggregating Risks with Partial Dependence Information
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