Around convex ordering and comonotonicity

MaRDI QIDQ2829782zbMATHFDO

Authors Halim Zeghdoudi, Mohamed Riad Remita

Publication date 8 November 2016

Published in International Journal of Applied Mathematics and Statistics (Search for Journal in Brave)

Full work available at URL http://www.ceser.in/ceserp/index.php/ijamas/article/view/683

zbMATH Keywords

convex orderstop-loss premiumscomonotonocity

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Inequalities; stochastic orderings (60E15) Approximations to statistical distributions (nonasymptotic) (62E17)

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Cited in

(20)

• Characterization of upper comonotonicity via tail convex order
• Some useful counterexamples regarding comonotonicity
• Logic of convex order
• Improved convex upper bound via conditional comonotonicity
• Convexity in ordered spaces
• A coupling proof of convex ordering for compound distributions
• Comonotonicity, orthant convex order and sums of random variables
• An overview of comonotonicity and its applications in finance and insurance
• scientific article; zbMATH DE number 3955872 (Why is no real title available?)
• Bounds for sums of random variables when the marginal distributions and the variance of the sum are given
• A note on essentially convex orders
• Convexity in ordered matroids and the generalized external order
• A Simple Geometric Proof that Comonotonic Risks Have the Convex-Largest Sum
• Convex ordering of random variables and its applications in econometrics and actuarial science
• Two sufficient conditions for convex ordering on risk aggregation
• The concept of comonotonicity in actuarial science and finance: theory.
• Quantifying the error of convex order bounds for truncated first moments
• Comonotonicity and maximal stop-loss premiums
• Reducing risk by merging counter-monotonic risks
• Permutation monotone functions of random vectors with applications in financial and actuarial risk management

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