On multivariate countermonotonic copulas and their actuarial application

DOI10.1134/S199508021604003XMaRDI QIDQ323616zbMATH OpenFDO

Authors Bangwon Ko, Jae Youn Ahn

Publication date 10 October 2016

Published in Lobachevskii Journal of Mathematics (Search for Journal in Brave)

zbMATH Keywords

countermonotonicityminimal copulavariance minimization

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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• Multivariate countermonotonicity and the minimal copulas
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Cites work

• A multivariate dependence measure for aggregating risks
• An introduction to copulas.
• Characterization of comonotonicity using convex order
• Characterizations of counter-monotonicity and upper comonotonicity by (tail) convex order
• Characterizing mutual exclusivity as the strongest negative multivariate dependence structure
• Choosing joint distributions so that the variance of the sum is small
• Dependence modeling with copulas
• Extremal dependence concepts
• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
• Multivariate concordance
• Negative dependence concept in copulas and the marginal free herd behavior index
• On the multidimensional extension of countermonotonicity and its applications
• On the theory of elliptically contoured distributions
• Relative Importance of Risk Sources in Insurance Systems
• Risk Measures and Comonotonicity: A Review
• 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.
• Variance minimization and random variables with constant sum

Cited in

(5)

• On the multidimensional extension of countermonotonicity and its applications
• Characterizations of copulas attaining the bounds of multivariate Kendall's tau
• Pairwise counter-monotonicity
• Characterizing mutual exclusivity as the strongest negative multivariate dependence structure
• Multivariate countermonotonicity and the minimal copulas

Describes a project that uses

Uses Software

• CopulaModel

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