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Yang, J. P., Cheng, S., & Zhang, L. H. (2006). Bivariate Copula Decomposition in Terms of Comonotonicity, Countermonotonicity and Independence. Insurance: Mathematics and Economics, 39, 267-284.
https://doi.org/10.1016/j.insmatheco.2006.02.015

has been cited by the following article:

• TITLE: New Class of Distortion Risk Measures and Their Tail Asymptotics with Emphasis on VaR

  AUTHORS: Chuancun Yin, Dan Zhu

  KEYWORDS: Coherent Risk Measure, Copula, Distortion Risk Measure, Extreme Value Theory, GlueVaR, Tail Subadditivity, Tail Distortion Risk Measure

  JOURNAL NAME: Journal of Financial Risk Management, Vol.7 No.1, March 6, 2018

  ABSTRACT: Distortion risk measures are extensively used in finance and insurance applications because of their appealing properties. We present three methods to construct new class of distortion functions and measures. The approach involves the composting methods, the mixing methods and the approach that based on the theory of copula. We also investigate the tail subadditivity for VaR and other distortion risk measures. In particular, we demonstrate that VaR is tail subadditive for the case where the support of risk is bounded. Various examples are also presented to illustrate the results.