15-024/IV - Tail Mutual Exclusivity and Tail-Var Lower Bounds

Authors

Ka Chun Cheung, The University of Hong Kong, Hong Kong, PR of China; Michel Denuit, Université Catholique de Louvain, Belgium; Jan Dhaene, Katholieke Universiteit Leuven, Belgium, University of the Free State, Bloemfontein, South Africa
Publication date

February 12, 2015

Keywords

Mutual exclusivity, stop-loss transform, tail convex order, risk measures
JEL

G19, C63

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