On multivariate countermonotonic copulas and their actuarial application
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Publication:323616
DOI10.1134/S199508021604003XzbMATH Open1419.62298MaRDI QIDQ323616FDOQ323616
Authors: Bangwon Ko, Jae Youn Ahn 
Publication date: 10 October 2016
Published in: Lobachevskii Journal of Mathematics (Search for Journal in Brave)
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Cites Work
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- An introduction to copulas.
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- On the theory of elliptically contoured distributions
- Extremal dependence concepts
- Multivariate concordance
- Tail Conditional Expectations for Elliptical Distributions
- The complete mixability and convex minimization problems with monotone marginal densities
- The concept of comonotonicity in actuarial science and finance: theory.
- The safest dependence structure among risks.
- Risk Measures and Comonotonicity: A Review
- A multivariate dependence measure for aggregating risks
- Negative dependence concept in copulas and the marginal free herd behavior index
- Choosing joint distributions so that the variance of the sum is small
- On the multidimensional extension of countermonotonicity and its applications
- Characterizations of counter-monotonicity and upper comonotonicity by (tail) convex order
- Characterization of comonotonicity using convex order
- Variance minimization and random variables with constant sum
- Relative Importance of Risk Sources in Insurance Systems
- Characterizing mutual exclusivity as the strongest negative multivariate dependence structure
Cited In (5)
- On the multidimensional extension of countermonotonicity and its applications
- Characterizations of copulas attaining the bounds of multivariate Kendall's tau
- Characterizing mutual exclusivity as the strongest negative multivariate dependence structure
- Pairwise counter-monotonicity
- Multivariate countermonotonicity and the minimal copulas
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