Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables
Hamza Hanbali, Daniël Linders and Jan Dhaene
| Year of publication: |
2023
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|---|---|
| Authors: | Hanbali, Hamza ; Linders, Daniël ; Dhaene, Jan |
| Published in: |
Scandinavian actuarial journal. - Stockholm : Taylor & Francis, ISSN 1651-2030, ZDB-ID 2029609-5. - Vol. 2023.2023, 3, p. 219-243
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| Subject: | Counter-monotonicity | decomposition formulas | extreme negative dependence | stop-loss transform | Tail Value-at-Risk | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Ausreißer | Outliers | Risikomanagement | Risk management | Wahrscheinlichkeitsrechnung | Probability theory | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/03461238.2022.2092419 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014336322