Characterizing mutual exclusivity as the strongest negative multivariate dependence structure

DOI10.1016/j.insmatheco.2014.01.001zbMath1296.60037OpenAlexW2101251294MaRDI QIDQ743158

Ambrose Lo, Ka Chun Cheung

Publication date: 22 September 2014

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

Full work available at URL: http://hdl.handle.net/10722/217222

zbMATH Keywords

Fréchet boundsconvex ordercomplete mixabilitycounter-monotonicitymutual exclusivity

Mathematics Subject Classification ID

Related Items (16)

Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables ⋮ On multivariate countermonotonic copulas and their actuarial application ⋮ Joint Mixability ⋮ Two sufficient conditions for convex ordering on risk aggregation ⋮ Pairwise counter-monotonicity ⋮ High dimensional Bernoulli distributions: algebraic representation and applications ⋮ Aggregating Risks with Partial Dependence Information ⋮ Detecting complete and joint mixability ⋮ Current open questions in complete mixability ⋮ Multivariate countermonotonicity and the minimal copulas ⋮ General lower bounds on convex functionals of aggregate sums ⋮ Extremal dependence concepts ⋮ On the multidimensional extension of countermonotonicity and its applications ⋮ On minimal copulas under the concordance order ⋮ On sums of two counter-monotonic risks ⋮ Negative dependence concept in copulas and the marginal free herd behavior index

Cites Work

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• Characterizations of counter-monotonicity and upper comonotonicity by (tail) convex order
• Characterization of comonotonicity using convex order
• Advances in Complete Mixability
• An Overview of Comonotonicity and Its Applications in Finance and Insurance
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