A note on subadditivity of value at risks (VaRs): A new connection to comonotonicity
The research reveals a new characteristic of value at risk (VaR), stating that its subadditivity holds for any confidence level only if the loss random variables are comonotonic.
Featured in No. 113 on 22 Sep 2025 · 6 days after release · 5 citations today · published in J. Appl. Probab.
- Released
- 16 Sep 2025
- First featured
- No. 113 · 22 Sep 2025
- Citations (Semantic Scholar)
- 5
- Influential citations
- 0
- Published in
- J. Appl. Probab.
- Shares when featured
- 6
- Identifier
- doi:10.1017/jpr.2025.31
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).