Multivariate countermonotonicity and the minimal copulas

DOI10.1016/J.CAM.2016.12.032MaRDI QIDQ508035zbMATH OpenOpenAlexFDO

Authors Jae Youn Ahn, W. Lee, K. C. Cheung

Publication date 9 February 2017

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

Full work available at URL https://doi.org/10.1016/j.cam.2016.12.032

zbMATH Keywords

comonotonicitycountermonotonicityminimal copulavariance minimization

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inequalities; stochastic orderings (60E15)

Recommendations

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Cites work

• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• scientific article; zbMATH DE number 5080942 (Why is no real title available?)
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• Dependence modeling with copulas
• Extremal dependence concepts
• Improved Fréchet bounds and model-free pricing of multi-asset options
• Joint Mixability
• Lower bounds on multivariate distributions with preassigned marginals
• 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
• Reducing risk by merging counter-monotonic risks
• 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

(10)

• On sums of two counter-monotonic risks
• On the multidimensional extension of countermonotonicity and its applications
• High dimensional Bernoulli distributions: algebraic representation and applications
• Characterizations of copulas attaining the bounds of multivariate Kendall's tau
• Living on the edge: an unified approach to antithetic sampling
• On minimal copulas under the concordance order
• Pairwise counter-monotonicity
• On multivariate countermonotonic copulas and their actuarial application
• Trade and currency options hedging model
• Measuring herd behavior: properties and pitfalls

Describes a project that uses

Uses Software

• CopulaModel

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