Characterization of comonotonicity using convex order

DOI10.1016/J.INSMATHECO.2008.08.002MaRDI QIDQ2518543zbMATH OpenOpenAlexFDO

Authors K. C. 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

convex ordercomonotonicityFréchet upper bound

Mathematics Subject Classification ID

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

Recommendations

• A new proof of Cheung's characterization of comonotonicity
• Characterization of upper comonotonicity via tail convex order
• Characterizing a comonotonic random vector by the distribution of the sum of its components
• Characterizations of counter-monotonicity and upper comonotonicity by (tail) convex order
• Comonotonicity, orthant convex order and sums of random variables

Cites work

• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• A Simple Geometric Proof that Comonotonic Risks Have the Convex-Largest Sum
• An introduction to copulas.
• The concept of comonotonicity in actuarial science and finance: applications.
• The concept of comonotonicity in actuarial science and finance: theory.

Cited in

(15)

• Characterizations of counter-monotonicity and upper comonotonicity by (tail) convex order
• On the multidimensional extension of countermonotonicity and its applications
• Aggregating risks with partial dependence information
• Characterizing a comonotonic random vector by the distribution of the sum of its components
• Characterization of upper comonotonicity via tail convex order
• A new proof of Cheung's characterization of comonotonicity
• On multivariate countermonotonic copulas and their actuarial application
• Measuring herd behavior: properties and pitfalls
• Characterizing mutual exclusivity as the strongest negative multivariate dependence structure
• A Simple Geometric Proof that Comonotonic Risks Have the Convex-Largest Sum
• Financial interpretation of herd behavior index and its statistical estimation
• Bounds for sums of random variables when the marginal distributions and the variance of the sum are given
• Comonotonicity, orthant convex order and sums of random variables
• Characterizations of Conditional Comonotonicity
• Multivariate countermonotonicity and the minimal copulas

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