Characterizations of counter-monotonicity and upper comonotonicity by (tail) convex order

DOI10.1016/j.insmatheco.2013.06.004zbMath1304.60025OpenAlexW2071792647MaRDI QIDQ2513590

Ambrose Lo, Ka Chun Cheung

Publication date: 28 January 2015

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.06.004

zbMATH Keywords

risk measuresconvex orderupper comonotonicitycounter-monotonicitytail convex order

Mathematics Subject Classification ID

Related Items (11)

On multivariate countermonotonic copulas and their actuarial application ⋮ Monotone tail functions: definitions, properties, and application to risk-reducing strategies ⋮ Two sufficient conditions for convex ordering on risk aggregation ⋮ Tail mutual exclusivity and Tail-VaR lower bounds ⋮ On the properties of subsethood measures ⋮ Multivariate countermonotonicity and the minimal copulas ⋮ Reducing risk by merging counter-monotonic risks ⋮ General lower bounds on convex functionals of aggregate sums ⋮ Multivariate patchwork copulas: a unified approach with applications to partial comonotonicity ⋮ Characterizing mutual exclusivity as the strongest negative multivariate dependence structure ⋮ On sums of two counter-monotonic risks

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