The bounds for risk measures of a portfolio when its components have known marginal distributions but the dependence among the risks is unknown are often too wide to be useful in practice. Moreover, availability of additional dependence information, such as knowledge of some higher-order...

In this paper, we extend the concept of mutual exclusivity proposed by Dhaene and Denuit (1999) to its tail counterpart and baptise this new dependency structure as tail mutual exclusivity. Probability levels are first specified for each component of the random vector. Under this dependency...

In this pedagogical note, it is shown how extremal values of classical measures of association like Pearson's correlation coeffcient, Kendall's τ, Spearman's ρ and Gini's γ characterize comonotonicity and countermonotonicity. The link between zero-correlation and mutual independence is also...