On sums of two counter-monotonic risks

DOI10.1016/j.insmatheco.2020.02.010zbMath1445.91050OpenAlexW3009441102MaRDI QIDQ784393

Simon-Pierre Gadoury, Étienne Marceau, Hélène Cossette, Ihsan Chaoubi

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

subexponential distributionsrisk measurescounter-monotonicitydiversification benefitextreme negative dependence

Mathematics Subject Classification ID

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

Related Items (4)

Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables ⋮ 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 ⋮ Pairwise counter-monotonicity

Uses Software

• QRM

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The herd behavior index: a new measure for the implied degree of co-movement in stock markets
• Multivariate countermonotonicity and the minimal copulas
• Multivariate extremes and the aggregation of dependent risks: examples and counter-examples
• The complete mixability and convex minimization problems with monotone marginal densities
• Characterizing mutual exclusivity as the strongest negative multivariate dependence structure
• Static-arbitrage optimal subreplicating strategies for basket options
• Stochastic orders
• Dispersive ordering-some applications and examples
• Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness
• Inequalities for distributions with given marginals
• The concept of comonotonicity in actuarial science and finance: theory.
• Extremal dependence concepts
• Diversification of aggregate dependent risks
• Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities
• The safest dependence structure among risks.
• Reducing risk by merging counter-monotonic risks
• Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates
• General lower bounds on convex functionals of aggregate sums
• A note on the computation of sharp numerical bounds for the distribution of the sum, product or ratio of dependent risks
• Tail approximations for sums of dependent regularly varying random variables under Archimedean copula models
• On the multidimensional extension of countermonotonicity and its applications
• Characterizations of counter-monotonicity and upper comonotonicity by (tail) convex order
• Joint Mixability
• Static-arbitrage upper bounds for the prices of basket options
• Risk Measures and Comonotonicity: A Review
• On the Tail Behavior of Sums of Dependent Risks
• On a class of extremal problems in statistics
• Reinsurance
• Sharp Upper and Lower Bounds for Basket Options

This page was built for publication: On sums of two counter-monotonic risks