A Simple Geometric Proof that Comonotonic Risks Have the Convex-Largest Sum

DOI10.2143/AST.32.1.1015zbMath1061.62511OpenAlexW3125343648MaRDI QIDQ4661650

Rob Kaas, David Vyncke, Jan Dhaene, Marc J. Goovaerts, Michel M. Denuit

Publication date: 30 March 2005

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.32.1.1015

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory of statistical distributions (62E10)

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Cites Work

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• Convex majorization with an application to the length of critical paths
• Modeling and Comparing Dependencies in Multivariate Risk Portfolios
• The Dual Theory of Choice under Risk