2 papers
math.PR2025
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…
q-fin.PR2025
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…