---
title: A note on subadditivity of value at risks (VaRs): A new connection to comonotonicity
url: https://www.ml-quant.com/papers/doi/10-1017-jpr-2025-31/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: doi:10.1017/jpr.2025.31
source_url: http://dx.doi.org/10.1017/jpr.2025.31
featured: 2025-09-22
citations: 5
topic: Risk, Credit & Banking
---


# 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.

- Source: http://dx.doi.org/10.1017/jpr.2025.31
- Identifier: doi:10.1017/jpr.2025.31
- Released: 2025-09-16
- First featured: Quant Letter No. 113 (2025-09-22): https://www.ml-quant.com/issues/2025-09-22/
- Citations (Semantic Scholar): 5
- Published in: J. Appl. Probab.
- Topic: Risk, Credit & Banking

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