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Found 9 papers, 0 papers with code
The checkerboard copula and dependence concepts
We study the problem of choosing the copula when the marginal distributions of a random vector are not all continuous.
Negatively dependent optimal risk sharing
We analyze the problem of optimally sharing risk using allocations that exhibit counter-monotonicity, the most extreme form of negative dependence.
The optimal reinsurance strategy with price-competition between two reinsurers
Our numerical analysis verifies the impact of claim size, risk aversion and interest rates of the insurer and reinsurers on equilibrium reinsurance strategy and premium strategy, which can help to understand competition in the reinsurance market
Pairwise counter-monotonicity
We systematically study pairwise counter-monotonicity, an extremal notion of negative dependence.
Risk sharing, measuring variability, and distortion riskmetrics
We address the problem of sharing risk among agents with preferences modelled by a general class of comonotonic additive and law-based functionals that need not be either monotone or convex.
Diversification quotients based on VaR and ES
The diversification quotient (DQ) is recently introduced for quantifying the degree of diversification of a stochastic portfolio model.
Diversification quotients: Quantifying diversification via risk measures
We establish the first axiomatic theory for diversification indices using six intuitive axioms: non-negativity, location invariance, scale invariance, rationality, normalization, and continuity.
Calibrating distribution models from PELVE
It is straightforward to compute the value of PELVE for a given distribution model.
Risk Aggregation under Dependence Uncertainty and an Order Constraint
We study the aggregation of two risks when the marginal distributions are known and the dependence structure is unknown, under the additional constraint that one risk is smaller than or equal to the other.
