IRisk Lab

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    • 3:00 pm
      9/20/2019
    • Altgelt Hall 245

    Seminar: Bounds for quantities related to the difference of two random variables

    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.