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Insurance / Mathematics & economics
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Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates
Puccetti, Giovanni
;
Wang, Bin
;
Wang, Ruodu
- In:
Insurance / Mathematics & economics
53
(
2013
)
3
,
pp. 821-828
Persistent link: https://www.econbiz.de/10010227817
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2
Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables
Hanbali, Hamza
;
Linders, Daniël
;
Dhaene, Jan
- In:
Scandinavian actuarial journal
2023
(
2023
)
3
,
pp. 219-243
Persistent link: https://www.econbiz.de/10014336322
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3
Testing for more positive expectation dependence with application to model comparison
Denuit, Michel
;
Trufin, Julien
;
Verdebout, Thomas
- In:
Insurance / Mathematics & economics
101
(
2021
)
2
,
pp. 163-172
Persistent link: https://www.econbiz.de/10012793921
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