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  • Search: subject:"Countermonotonicity"
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Year of publication
Subject
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Counter-monotonicity 10 Convex order 6 Theorie 6 Theory 6 Risiko 5 Risikomaß 5 Risk 5 Risk measure 5 Tail Value-at-Risk 5 Comonotonicity 4 Measurement 4 Messung 4 Mutual exclusivity 4 Risikomanagement 4 Risk management 4 Risk measures 3 Aggregate risks 2 Complete mixability 2 Convex functionals 2 Countermonotonicity 2 Fréchet bounds 2 Risikomodell 2 Risk model 2 Statistical distribution 2 Statistische Verteilung 2 Tail convex order 2 Upper comonotonicity 2 independence of random values 2 stocks 2 Aggregation 1 Ausreißer 1 Dependence bounds 1 Difference of random variables 1 Difference of stop-loss payoffs 1 Diversification 1 Diversification benefit 1 Diversifikation 1 Estimation theory 1 Extreme negative dependence 1 Finanzmathematik 1
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Online availability
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Undetermined 7 Free 4
Type of publication
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Article 14 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 7 Aufsatz in Zeitschrift 7 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 8 Undetermined 7
Author
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Cheung, Ka Chun 8 Lo, Ambrose 8 Dhaene, Jan 4 Hanbali, Hamza 2 Linders, Daniël 2 Tang, Qihe 2 Ahn, Jae Youn 1 Bronshtein, Bronshtein , Efim 1 Bronshtein, Efim 1 Chaoubi, Ihsan 1 Cossette, Hélène 1 Dubinskaya, Ksenya 1 Gadoury, Simon-Pierre 1 Gerasimova, Anna 1 Lauzier, Jean-Gabriel 1 Lee, Woojoo 1 Lin, Liyuan 1 Marceau, Etienne 1 Prokudina, Elena 1 Wang, Ruodu 1 Zinurova, Anna 1
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Published in...
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Insurance / Mathematics & economics 6 Insurance: Mathematics and Economics 5 Applied Econometrics 2 Scandinavian actuarial journal 1 Working paper / Department of Econometrics and Business Statistics, Monash University 1
Source
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ECONIS (ZBW) 8 RePEc 7
Showing 1 - 10 of 15
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Risk sharing, measuring variability, and distortion riskmetrics
Lauzier, Jean-Gabriel; Lin, Liyuan; Wang, Ruodu - 2024
Persistent link: https://www.econbiz.de/10015073827
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Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables
Hanbali, Hamza; Linders, Daniël; Dhaene, Jan - In: Scandinavian actuarial journal 2023 (2023) 3, pp. 219-243
Persistent link: https://www.econbiz.de/10014336322
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Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables
Hanbali, Hamza; Dhaene, Jan; Linders, Daniël - In: Insurance / Mathematics & economics 107 (2022), pp. 22-37
Persistent link: https://www.econbiz.de/10013471096
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On sums of two counter-monotonic risks
Chaoubi, Ihsan; Cossette, Hélène; Gadoury, Simon-Pierre; … - In: Insurance / Mathematics & economics 92 (2020), pp. 47-60
Persistent link: https://www.econbiz.de/10012242038
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Copulas of a special form and their application to the analysis of the financial market
Bronshtein, Efim; Zinurova, Anna - In: Applied Econometrics 27 (2012) 3, pp. 109-114
New classes of copulas of co-monotone and counter-monotone types are introduced. These classes are applied to the analysis of the dynamics of the Russian stock market.
Persistent link: https://www.econbiz.de/10010841034
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Estimation of the interdependence of time series of stocks prices based on copula
Bronshtein, Bronshtein , Efim; Prokudina, Elena; … - In: Applied Econometrics 22 (2011) 2, pp. 22-31
The relationships in the stock markets, the impact on them of the structural changes in the economy, the ability to adequately forecast for a certain period are investigated. The analysis of the interdependence of stock prices by using copula functions is carried out. The statistical estimations...
Persistent link: https://www.econbiz.de/10009131079
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Reducing risk by merging counter-monotonic risks
Cheung, Ka Chun; Dhaene, Jan; Lo, Ambrose; Tang, Qihe - In: Insurance: Mathematics and Economics 54 (2014) C, pp. 58-65
relations for their sums cannot be translated to counter-monotonicity in general. In a financial context, it amounts to saying …
Persistent link: https://www.econbiz.de/10010729661
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On the multidimensional extension of countermonotonicity and its applications
Lee, Woojoo; Ahn, Jae Youn - In: Insurance: Mathematics and Economics 56 (2014) C, pp. 68-79
In a 2-dimensional space, Fréchet–Hoeffding upper and lower bounds define comonotonicity and countermonotonicity … extension of countermonotonicity in multidimensions. This paper investigates in depth a new multidimensional extension of … countermonotonicity. We first provide an equivalent condition for countermonotonicity in 2-dimension, and extend the definition of …
Persistent link: https://www.econbiz.de/10010776720
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Characterizing mutual exclusivity as the strongest negative multivariate dependence structure
Cheung, Ka Chun; Lo, Ambrose - In: Insurance: Mathematics and Economics 55 (2014) C, pp. 180-190
exclusivity in generalizing counter-monotonicity as the strongest negative dependence structure in a multi-dimensional setting. …
Persistent link: https://www.econbiz.de/10010753211
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Reducing risk by merging counter-monotonic risks
Cheung, Ka Chun; Dhaene, Jan; Lo, Ambrose; Tang, Qihe - In: Insurance / Mathematics & economics 54 (2014), pp. 58-65
Persistent link: https://www.econbiz.de/10010259677
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