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20192025
most citedValue-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables

6 citations · 7 across the 3 of their papers we have counts for

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q-fin.PR2025★ 1 cited

Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables

Hamza Hanbali, Jan Dhaene, Daniel Linders

This paper considers the difference of stop-loss payoffs where the underlying is a difference of two random variables. The goal is to study whether the comonotonic and countermonot…