Characterizations of Conditional Comonotonicity

DOI10.1239/JAP/1189717532MaRDI QIDQ5440634zbMATH OpenOpenAlexFDO

Authors K. C. Cheung

Publication date 5 February 2008

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/jap/1189717532

zbMATH Keywords

comonotonicityconditional comonotonicity

Mathematics Subject Classification ID

Distribution theory (60E99) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20)

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Cites work

• A Simple Geometric Proof that Comonotonic Risks Have the Convex-Largest Sum
• Conditional comonotonicity
• Existence of Conditional Probabilities.
• scientific article; zbMATH DE number 1713116 (Why is no real title available?)
• scientific article; zbMATH DE number 3778409 (Why is no real title available?)
• scientific article; zbMATH DE number 3429244 (Why is no real title available?)
• Improved convex upper bound via conditional comonotonicity
• Integral Representation Without Additivity
• The concept of comonotonicity in actuarial science and finance: applications.
• The concept of comonotonicity in actuarial science and finance: theory.
• The Dual Theory of Choice under Risk
• Upper and lower bounds for sums of random variables

Cited in

(16)

• Multivariate comonotonicity
• Conditional comonotonicity
• Borch's theorem from the perspective of comonotonicity
• Comonotone lower probabilities with robust marginal distributions functions
• Comonotonicity and low volatility effect
• A new proof of Cheung's characterization of comonotonicity
• Tail comonotonicity: properties, constructions, and asymptotic additivity of risk measures
• Bounds for sums of random variables when the marginal distributions and the variance of the sum are given
• Simple characterizations of comonotonicity and countermonotonicity by extremal correlations
• An overview of conditional comonotonicity and its applications
• scientific article; zbMATH DE number 1367673 (Why is no real title available?)
• A new characterization of comonotonicity and its application in behavioral finance
• Comonotonic stochastic processes and generalized mean-square stochastic integral with applications
• Conditional quantiles: an operator-theoretical approach
• Applications of conditional comonotonicity to some optimization problems
• Characterizing a comonotonic random vector by the distribution of the sum of its components

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