Conditional comonotonicity
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This paper investigates a generalization of the notion of comonotonicity by introducing and exploring the concept of conditional comonotonicity. The authors characterize this notion and show by examples that conditional comonotonicity is the natural extension of comonotonicity to dynamic settings.
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Cites work
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Cited in
(24)- Minimal Hellinger martingale measures of order \(q\)
- Multivariate comonotonicity
- Comonotonic processes
- A quantile correlated random coefficients panel data model
- Borch's theorem from the perspective of comonotonicity
- Weak comonotonicity
- Consequentialism and dynamic consistency in updating ambiguous beliefs
- A new characterization of distortion premiums via countable additivity for comonotonic risks
- On the multidimensional extension of countermonotonicity and its applications
- Nonlinear bivariate comovements of asset prices: methodology, tests and applications
- 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
- Co-monotonicity of optimal investments and the design of structured financial products
- Comonotonic stochastic processes and generalized mean-square stochastic integral with applications
- Characterizations of Conditional Comonotonicity
- OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
- Conditional quantiles: an operator-theoretical approach
- A note on the induction of comonotonic additive risk measures from acceptance sets
- Random distortion risk measures
- Applications of conditional comonotonicity to some optimization problems
- Pareto efficiency for the concave order and multivariate comonotonicity
- Generalizing comonotonicity: new insights and dual perspectives
- Improved convex upper bound via conditional comonotonicity
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