FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W3009441102> ?p ?o ?g. }

• W3009441102 endingPage "60" @default.
• W3009441102 startingPage "47" @default.
• W3009441102 abstract "In risk management, capital requirements are most often based on risk measurements of the aggregation of individual risks treated as random variables. The dependence structure between such random variables has a strong impact on the behavior of the aggregate loss. One finds an extensive literature on the study of the sum of comonotonic risks but less, in comparison, has been done regarding the sum of counter-monotonic risks. A crucial result for comonotonic risks is that the Value-at-risk and the Tail Value-at-risk of their sum correspond respectively to the sum of the Value-at-risk and Tail Value-at-risk of the individual risks. In this paper, our main objective is to derive such simple results for the sum of counter-monotonic risks. To do so, we examine separately different contexts in the class of bivariate strictly continuous distributions for which we obtain closed-form expressions for the Value-at-risk and Tail Value-at-risk of the sum of two counter-monotonic risks. The expressions for the subadditive Tail Value-at risk allow us to quantify the maximal diversification benefit. Also, our findings allow us to analyze the tail of the distribution of the sum of two identically subexponentially distributed counter-monotonic random variables." @default.
• W3009441102 created "2020-03-13" @default.
• W3009441102 creator A5006298311 @default.
• W3009441102 creator A5018434322 @default.
• W3009441102 creator A5055901651 @default.
• W3009441102 creator A5067755547 @default.
• W3009441102 date "2020-05-01" @default.
• W3009441102 modified "2023-10-15" @default.
• W3009441102 title "On sums of two counter-monotonic risks" @default.
• W3009441102 cites W1966937304 @default.
• W3009441102 cites W1987690364 @default.
• W3009441102 cites W1998972808 @default.
• W3009441102 cites W1999871445 @default.
• W3009441102 cites W2009102113 @default.
• W3009441102 cites W2014778662 @default.
• W3009441102 cites W2016291901 @default.
• W3009441102 cites W2018682783 @default.
• W3009441102 cites W2018687962 @default.
• W3009441102 cites W2028690092 @default.
• W3009441102 cites W2035481762 @default.
• W3009441102 cites W2071433805 @default.
• W3009441102 cites W2071792647 @default.
• W3009441102 cites W2071942448 @default.
• W3009441102 cites W2095295425 @default.
• W3009441102 cites W2096344197 @default.
• W3009441102 cites W2101251294 @default.
• W3009441102 cites W2132527237 @default.
• W3009441102 cites W2135987121 @default.
• W3009441102 cites W2156627315 @default.
• W3009441102 cites W2566058289 @default.
• W3009441102 cites W2950148913 @default.
• W3009441102 cites W2964034564 @default.
• W3009441102 cites W3121720857 @default.
• W3009441102 cites W3121841769 @default.
• W3009441102 cites W3124675969 @default.
• W3009441102 cites W3125638283 @default.
• W3009441102 cites W4233783080 @default.
• W3009441102 cites W4298311540 @default.
• W3009441102 doi "https://doi.org/10.1016/j.insmatheco.2020.02.010" @default.
• W3009441102 hasPublicationYear "2020" @default.
• W3009441102 type Work @default.
• W3009441102 sameAs 3009441102 @default.
• W3009441102 citedByCount "2" @default.
• W3009441102 countsByYear W30094411022022 @default.
• W3009441102 crossrefType "journal-article" @default.
• W3009441102 hasAuthorship W3009441102A5006298311 @default.
• W3009441102 hasAuthorship W3009441102A5018434322 @default.
• W3009441102 hasAuthorship W3009441102A5055901651 @default.
• W3009441102 hasAuthorship W3009441102A5067755547 @default.
• W3009441102 hasConcept C10138342 @default.
• W3009441102 hasConcept C105795698 @default.
• W3009441102 hasConcept C114614502 @default.
• W3009441102 hasConcept C122123141 @default.
• W3009441102 hasConcept C134306372 @default.
• W3009441102 hasConcept C141513077 @default.
• W3009441102 hasConcept C144133560 @default.
• W3009441102 hasConcept C148845407 @default.
• W3009441102 hasConcept C149782125 @default.
• W3009441102 hasConcept C162324750 @default.
• W3009441102 hasConcept C162853370 @default.
• W3009441102 hasConcept C180916674 @default.
• W3009441102 hasConcept C19220575 @default.
• W3009441102 hasConcept C2776291640 @default.
• W3009441102 hasConcept C32896092 @default.
• W3009441102 hasConcept C33923547 @default.
• W3009441102 hasConcept C5496284 @default.
• W3009441102 hasConcept C64341305 @default.
• W3009441102 hasConcept C72169020 @default.
• W3009441102 hasConcept C94128290 @default.
• W3009441102 hasConceptScore W3009441102C10138342 @default.
• W3009441102 hasConceptScore W3009441102C105795698 @default.
• W3009441102 hasConceptScore W3009441102C114614502 @default.
• W3009441102 hasConceptScore W3009441102C122123141 @default.
• W3009441102 hasConceptScore W3009441102C134306372 @default.
• W3009441102 hasConceptScore W3009441102C141513077 @default.
• W3009441102 hasConceptScore W3009441102C144133560 @default.
• W3009441102 hasConceptScore W3009441102C148845407 @default.
• W3009441102 hasConceptScore W3009441102C149782125 @default.
• W3009441102 hasConceptScore W3009441102C162324750 @default.
• W3009441102 hasConceptScore W3009441102C162853370 @default.
• W3009441102 hasConceptScore W3009441102C180916674 @default.
• W3009441102 hasConceptScore W3009441102C19220575 @default.
• W3009441102 hasConceptScore W3009441102C2776291640 @default.
• W3009441102 hasConceptScore W3009441102C32896092 @default.
• W3009441102 hasConceptScore W3009441102C33923547 @default.
• W3009441102 hasConceptScore W3009441102C5496284 @default.
• W3009441102 hasConceptScore W3009441102C64341305 @default.
• W3009441102 hasConceptScore W3009441102C72169020 @default.
• W3009441102 hasConceptScore W3009441102C94128290 @default.
• W3009441102 hasFunder F4320334593 @default.
• W3009441102 hasLocation W30094411021 @default.
• W3009441102 hasOpenAccess W3009441102 @default.
• W3009441102 hasPrimaryLocation W30094411021 @default.
• W3009441102 hasRelatedWork W1787884541 @default.
• W3009441102 hasRelatedWork W1942942942 @default.
• W3009441102 hasRelatedWork W2114497214 @default.
• W3009441102 hasRelatedWork W2950198523 @default.
• W3009441102 hasRelatedWork W3009441102 @default.

• next