Journal article
General lower bounds on convex functionals of aggregate sums
Insurance, mathematics & economics, Vol.53(3), pp.884-896
11/01/2013
DOI: 10.1016/j.insmatheco.2013.10.005
Abstract
The determination of the dependence structure giving rise to the minimal convex sum in a general Frechet space is a practical, yet challenging problem in quantitative risk management. In this article, we consider the closely related problem of finding lower bounds on three kinds of convex functionals, namely, convex expectations, Tail Value-at-Risk and the Haezendonck-Goovaerts risk measure, of a sum of random variables with arbitrary distributions. The sharpness of the lower bounds on the first two types of convex functionals is characterized via the extreme negative dependence structure of mutual exclusivity. Compared to existing results in the literature, our new lower bounds enjoy the advantages of generality and analytic tractability. (C) 2013 Elsevier B.V. All rights reserved.
Details
- Title: Subtitle
- General lower bounds on convex functionals of aggregate sums
- Creators
- Ka Chun Cheung - University of Hong KongAmbrose Lo - University of Hong Kong
- Resource Type
- Journal article
- Publication Details
- Insurance, mathematics & economics, Vol.53(3), pp.884-896
- Publisher
- ELSEVIER SCIENCE BV
- DOI
- 10.1016/j.insmatheco.2013.10.005
- ISSN
- 0167-6687
- eISSN
- 1873-5959
- Number of pages
- 13
- Grant note
- HKU 701213 / Research Grants Council of the Hong Kong Special Administrative Region, China
- Language
- English
- Date published
- 11/01/2013
- Academic Unit
- Statistics and Actuarial Science
- Record Identifier
- 9984257631602771
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