| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5076936 | Insurance: Mathematics and Economics | 2012 | 12 Pages |
Abstract
⺠Tail comonotonicity can be applied to absolutely continuous distributions. ⺠It has parallel fundamental properties of usual comonotonicity. ⺠It can be constructed via Archimedean copula or heavy-tailed scale mixtures. ⺠It leads to asymptotic additivity of VaR and CTE for certain margins.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Lei Hua, Harry Joe,