Puccetti, Giovanni; Wang, Bin; Wang, Ruodu - In: Insurance: Mathematics and Economics 53 (2013) 3, pp. 821-828
We give a new sufficient condition for a continuous distribution to be completely mixable, and we use this condition to show that the worst-possible value-at-risk for the sum of d inhomogeneous risks is equivalent to the worst-possible expected shortfall under the same marginal assumptions, in...
