3 papers
math.ST2026
Joint Exclusivity
Nawaf Mohammed
We introduce joint exclusivity (JE), a form of extremal negative dependence that extends the classical notion of mutual exclusivity. The JE structure is analytically tractable and…
q-fin.RM2026
VaR at Its Extremes: Impossibilities and Conditions for One-Sided Random Variables
Nawaf Mohammed
We investigate the extremal aggregation behavior of Value-at-Risk (VaR) -- that is, its additivity properties across all probability levels -- for sums of one-sided random variable…
q-fin.RM2026
Tail Structure and the Ordering of the Standard Deviation and Gini Mean Difference
Nawaf Mohammed
We investigate the ordering between two fundamental measures of dispersion for real-valued risks: the standard deviation (SD) and the Gini mean difference (GMD). Our analysis is dr…