On sums of two counter-monotonic risks
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Publication:784393
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
subexponential distributionsrisk measurescounter-monotonicitydiversification benefitextreme negative dependence
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
Cites Work
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