General lower bounds on convex functionals of aggregate sums-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

General lower bounds on convex functionals of aggregate sums

Published:2013-11 Issue:3 Volume:53 Page:884-896
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Cheung Ka Chun,Lo Ambrose

Funder

Research Grants Council of the Hong Kong Special Administrative Region, China

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference29 articles.

1. On Haezeondonck risk measures;Bellini;Journal of Banking and Finance,2008

2. Haezendonck–Goovaerts risk measures and orlicz quantiles;Bellini;Insurance: Mathematics and Economics,2012

3. An old–new concept of convex risk measures: the optimized certainty equivalent;Ben-Tal;Mathematical Finance,2007

4. Bernard, C., Jiang, X., Wang, R., 2013. Risk aggregation with dependence uncertainty (submitted for publication).

5. Towards a theory of volatility trading;Carr,2001

Cited by 22 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables;Insurance: Mathematics and Economics;2022-11

2. Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables;Scandinavian Actuarial Journal;2022-06-30

3. Estimation of the Haezendonck-Goovaerts risk measure for extreme risks;Scandinavian Actuarial Journal;2021-01-07

4. On sums of two counter-monotonic risks;Insurance: Mathematics and Economics;2020-05

5. Model-free bounds on Value-at-Risk using extreme value information and statistical distances;Insurance: Mathematics and Economics;2019-05

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP

Copyright © 2019-2024 北京同舟云网络信息技术有限公司
京公网安备11010802033243号京ICP备18003416号-3