Weak comonotonicity

DOI10.1016/J.EJOR.2019.09.019MaRDI QIDQ2282525zbMATH OpenOpenAlexFDO

Authors Ruodu Wang, Ričardas Zitikis

Publication date 8 January 2020

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1812.04827

zbMATH Keywords

financecomonotonicityrisk aggregationconditional beta

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Abstract: The classical notion of comonotonicity has played a pivotal role when solving diverse problems in economics, finance, and insurance. In various practical problems, however, this notion of extreme positive dependence structure is overly restrictive and sometimes unrealistic. In the present paper, we put forward a notion of weak comonotonicity, which contains the classical notion of comonotonicity as a special case, and gives rise to necessary and sufficient conditions for a number of optimization problems, such as those arising in portfolio diversification, risk aggregation, and premium calculation. In particular, we show that a combination of weak comonotonicity and weak antimonotonicity with respect to some choices of measures is sufficient for the maximization of Value-at-Risk aggregation, and weak comonotonicity is necessary and sufficient for the Expected Shortfall aggregation. Finally, with the help of weak comonotonicity acting as an intermediate notion of dependence between the extreme cases of no dependence and strong comonotonicity, we give a natural solution to a risk-sharing problem.

Recommendations

• Weak commutativity and nilpotency
• Weak almost iterability
• Conditional comonotonicity
• Weak-compatibility in Menger space
• Weak covering relations
• Weak-colimits and their properties
• WEAK METRIC AND WEAK COMETRIC SCHEMES
• Weak compatibility in Menger spaces
• Weak distributive laws
• Weak Hironaka theorem

Cites work

• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• Aggregation-robustness and model uncertainty of regulatory risk measures
• Association of Random Variables, with Applications
• Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities
• Characterizing a comonotonic random vector by the distribution of the sum of its components
• Comonotonic measures of multivariate risks
• Dependence modeling with copulas
• Estimates for the Distribution Function of a Sum of Two Random Variables When the Marginal Distributions are Fixed
• Extremal dependence concepts
• Integral Representation Without Additivity
• Mathematical risk analysis. Dependence, risk bounds, optimal allocations and portfolios
• Modeling, measuring and managing risk
• Monotone dependence
• Multivariate comonotonicity
• Non-additive measure and integral
• On convex principles of premium calculation
• Pareto efficiency for the concave order and multivariate comonotonicity
• Quantile-based risk sharing
• Quantitative risk management. Concepts, techniques and tools
• Random variables with maximum sums
• Seven proofs for the subadditivity of expected shortfall
• Some Concepts of Dependence
• Statistics and Truth
• Stochastic finance. An introduction in discrete time.
• The Dual Theory of Choice under Risk
• The concept of comonotonicity in actuarial science and finance: applications.
• The concept of comonotonicity in actuarial science and finance: theory.
• Time series analysis. Forecasting and control
• Weighted Pricing Functionals With Applications to Insurance

Cited in

(5)

• Inf-convolution, optimal allocations, and model uncertainty for tail risk measures
• Risk measures induced by efficient insurance contracts
• Pairwise counter-monotonicity
• Applications of conditional comonotonicity to some optimization problems
• Some useful counterexamples regarding comonotonicity

Describes a project that uses

Uses Software

• CopulaModel
• QRM

This page was built for publication: Weak comonotonicity

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2282525)