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

DOI10.1016/j.insmatheco.2010.06.004zbMath1231.91160MaRDI 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

comonotonicity; convex order; distortion function; distortion risk measure; stop-loss order

Mathematics Subject Classification ID

60E15: Inequalities; stochastic orderings

62E10: Characterization and structure theory of statistical distributions

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