Measuring Comonotonicity in M-Dimensional Vectors

DOI10.2143/AST.41.1.2084391MaRDI QIDQ3008261zbMATH OpenOpenAlexFDO

Authors Inge Koch, Ann De Schepper

Publication date 15 June 2011

Full work available at URL https://econpapers.repec.org/RePEc:cup:astinb:v:41:y:2011:i:01:p:191-213_00

zbMATH Keywords

concordancecopulascorrelationdependence

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(3)

• A multivariate dependence measure for aggregating risks
• Measuring association via lack of co-monotonicity: the loc index and a problem of educational assessment
• Dissimilarity functions for rank-invariant hierarchical clustering of continuous variables

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