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q-fin.RM2023
Pairwise counter-monotonicity
Jean-Gabriel Lauzier, Liyuan Lin, Ruodu Wang
We systematically study pairwise counter-monotonicity, an extremal notion of negative dependence. A stochastic representation and an invariance property are established for this de…
q-fin.RM2023★ 1 cited
Risk sharing, measuring variability, and distortion riskmetrics
Jean-Gabriel Lauzier, Liyuan Lin, Ruodu Wang
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…