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

6 citations · 9 across the 4 of their papers we have counts for

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math.PR2025★ 6 cited

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

Hamza Hanbali, Daniel Linders, Jan Dhaene

The Value-at-Risk (VaR) of comonotonic sums can be decomposed into marginal VaR's at the same level. This additivity property allows to derive useful decompositions for other risk…

math.PR2025★ 2 cited

Monotone tail functions: definitions, properties, and application to risk-reducing strategies

Hamza Hanbali, Daniel Linders

This paper studies properties of functions having monotone tails. We extend Theorem 1 of Dhaene et al. (2002a) and show how the tail quantiles of a random variable transformed with…