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Tail mutual exclusivity and Tail-VaR lower bounds

Cheung, KC; Denuit, M; Dhaene, J

Cheung, KC (reprint author), Univ Hong Kong, Dept Stat & Actuarial Sci, Hong Kong, Hong Kong, Peoples R China.

SCANDINAVIAN ACTUARIAL JOURNAL, 2017; (1): 88

Abstract

In this paper, we extend the concept of mutual exclusivity proposed by [Dhaene, J. & Denuit, M. (1999). The safest dependence structure among risk......

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