Upper comonotonicity and convex upper bounds for sums of random variables

DOI10.1016/j.insmatheco.2010.05.006zbMath1231.60016OpenAlexW2016762910MaRDI QIDQ661231

Hailiang Yang, Jing Dong, 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.2010.05.006

zbMATH Keywords

comonotonicitytail dependenceconvex orderupper comonotonicity

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15)

Related Items

Monotone tail functions: definitions, properties, and application to risk-reducing strategies, Characterization of upper comonotonicity via tail convex order, Characterizations of counter-monotonicity and upper comonotonicity by (tail) convex order, Bounds for sums of random variables when the marginal distributions and the variance of the sum are given

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