Characterization of comonotonicity using convex order

DOI10.1016/j.insmatheco.2008.08.002zbMath1152.91570OpenAlexW2047940392MaRDI QIDQ2518543

Ka Chun Cheung

Publication date: 16 January 2009

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.08.002

zbMATH Keywords

comonotonicityconvex orderFréchet upper bound

Mathematics Subject Classification ID

Convex programming (90C25) Stochastic programming (90C15)

Related Items (12)

On multivariate countermonotonic copulas and their actuarial application ⋮ Measuring herd behavior: properties and pitfalls ⋮ Aggregating Risks with Partial Dependence Information ⋮ Characterizing a comonotonic random vector by the distribution of the sum of its components ⋮ Multivariate countermonotonicity and the minimal copulas ⋮ A new proof of Cheung's characterization of comonotonicity ⋮ Characterization of upper comonotonicity via tail convex order ⋮ On the multidimensional extension of countermonotonicity and its applications ⋮ Characterizations of counter-monotonicity and upper comonotonicity by (tail) convex order ⋮ Characterizing mutual exclusivity as the strongest negative multivariate dependence structure ⋮ Bounds for sums of random variables when the marginal distributions and the variance of the sum are given ⋮ Financial interpretation of herd behavior index and its statistical estimation

Cites Work

• Unnamed Item
• An introduction to copulas.
• The concept of comonotonicity in actuarial science and finance: theory.
• The concept of comonotonicity in actuarial science and finance: applications.
• A Simple Geometric Proof that Comonotonic Risks Have the Convex-Largest Sum

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