Abstract: We consider upper and lower bounds for the stop-loss premiums and Tail Values-at-Risk (TVaR’s) for the difference of random variables. We show that the upper and lower bounds are attained when the random variables involved are counter-monotonic and comonotonic, respectively. In both cases, we derive closed form expressions for the stop-loss premium and the TVaR.
About the speaker:Hamza Hanbali is a Post-Doctoral researcher in the Actuarial Research Group at KU Leuven, Belgium. His research interests revolve around aspects of management and measurement of insurance risks, quantitative finance, and dependence modelling. Hamza holds a M.Sc. in Actuarial Sciences from UC Louvain, Belgium, and a Ph.D. degree in Business Economics from KU Leuven. He was previously working as an Actuary in the risk management department of AXA Belgium.
