Characterizing a comonotonic random vector by the distribution of the sum of its components

DOI10.1016/j.insmatheco.2010.06.004zbMath1231.91160OpenAlexW2060020427MaRDI QIDQ661224

Ka Chun Cheung

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.06.004

zbMATH Keywords

comonotonicityconvex orderdistortion functiondistortion risk measurestop-loss order

Mathematics Subject Classification ID

Related Items (12)

Ordered random vectors and equality in distribution ⋮ The herd behavior index: a new measure for the implied degree of co-movement in stock markets ⋮ Aggregating Risks with Partial Dependence Information ⋮ Remarks on equality of two distributions under some partial orders ⋮ Reducing risk by merging counter-monotonic risks ⋮ General lower bounds on convex functionals of aggregate sums ⋮ A new proof of Cheung's characterization of comonotonicity ⋮ Characterization of upper comonotonicity via tail convex order ⋮ Weak comonotonicity ⋮ Extremal dependence concepts ⋮ Characterizations of counter-monotonicity and upper comonotonicity by (tail) convex order ⋮ Characterizing mutual exclusivity as the strongest negative multivariate dependence structure

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