Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables
Author:
Affiliation:
1. Monash University, Clayton, Australia
2. University of Amsterdam, Amsterdam, Netherlands
3. KU Leuven, Leuven, Belgium
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/03461238.2022.2092419
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1. Model-independent price bounds for Catastrophic Mortality Bonds
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4. A new approach to assessing model risk in high dimensions
5. Reducing model risk via positive and negative dependence assumptions
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