Upper comonotonicity

DOI10.1016/J.INSMATHECO.2009.03.003MaRDI QIDQ659089zbMATH OpenOpenAlexFDO

Authors K. C. 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.2009.03.003

zbMATH Keywords

comonotonicitycopularisk measuretail dependenceupper comonotonicity

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Recommendations

• Characterization of upper comonotonicity via tail convex order
• Upper comonotonicity and convex upper bounds for sums of random variables
• Characterizations of counter-monotonicity and upper comonotonicity by (tail) convex order
• Characterizing a comonotonic random vector by the distribution of the sum of its components
• Tail comonotonicity: properties, constructions, and asymptotic additivity of risk measures

Cites work

• A Primer on Copulas for Count Data
• An introduction to copulas.
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• Risk Measures and Comonotonicity: A Review
• The concept of comonotonicity in actuarial science and finance: applications.
• The concept of comonotonicity in actuarial science and finance: theory.

Cited in

(21)

• Estimators based on trimmed Kendall's tau in multivariate copula models
• Multivariate patchwork copulas: a unified approach with applications to partial comonotonicity
• Monotone tail functions: definitions, properties, and application to risk-reducing strategies
• Characterization of upper comonotonicity via tail convex order
• Extensions of the notion of overall comonotonicity to partial comonotonicity
• On the interplay between distortion, mean value and Haezendonck-Goovaerts risk measures
• Tail comonotonicity: properties, constructions, and asymptotic additivity of risk measures
• Characterizations of counter-monotonicity and upper comonotonicity by (tail) convex order
• The use of flexible quantile-based measures in risk assessment
• Measure on the sum of upper comonotonic random variables
• Bounds for sums of random variables when the marginal distributions and the variance of the sum are given
• Estimation methods for expected shortfall
• A note on upper-patched generators for Archimedean copulas
• A new characterization of comonotonicity and its application in behavioral finance
• A simple extension of comonotonicity: from independence to comonotonicity
• On additivity of tail comonotonic risks
• Ordinal sums: from triangular norms to bi- and multivariate copulas
• Tail behavior of discounted portfolio loss under upper tail comonotonicity
• Characterizing a comonotonic random vector by the distribution of the sum of its components
• Upper comonotonicity and convex upper bounds for sums of random variables
• Upper comonotonicity and risk aggregation under dependence uncertainty

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