On sums of two counter-monotonic risks
Ihsan Chaoubi, Hélène Cossette, Simon-Pierre Gadoury, Etienne Marceau
| Year of publication: |
2020
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|---|---|
| Authors: | Chaoubi, Ihsan ; Cossette, Hélène ; Gadoury, Simon-Pierre ; Marceau, Etienne |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 92.2020, p. 47-60
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| Subject: | Counter-monotonicity | Diversification benefit | Extreme negative dependence | Risk measures | Subexponential distributions | Risikomaß | Risk measure | Risiko | Risk | Messung | Measurement | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Statistische Verteilung | Statistical distribution | Diversifikation | Diversification | Theorie | Theory | Risikomodell | Risk model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2020.02.010 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012242038