Improved convex upper bound via conditional comonotonicity

DOI10.1016/J.INSMATHECO.2007.07.004MaRDI QIDQ998279zbMATH OpenOpenAlexFDO

Authors K. C. Cheung

Publication date 28 January 2009

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2007.07.004

zbMATH Keywords

convex ordercomonotonicityregular conditional distributionconditional comonotonicity

Mathematics Subject Classification ID

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Cites work

• scientific article; zbMATH DE number 1713116 (Why is no real title available?)
• A Simple Geometric Proof that Comonotonic Risks Have the Convex-Largest Sum
• Conditional comonotonicity
• The concept of comonotonicity in actuarial science and finance: applications.
• The concept of comonotonicity in actuarial science and finance: theory.
• Upper and lower bounds for sums of random variables

Cited in

(7)

• Characterization of upper comonotonicity via tail convex order
• Comonotonicity and low volatility effect
• Bounds for sums of random variables when the marginal distributions and the variance of the sum are given
• Characterizations of Conditional Comonotonicity
• Applications of conditional comonotonicity to some optimization problems
• Comonotonic convex upper bound and majorization
• Upper comonotonicity and convex upper bounds for sums of random variables

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