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Comonotonic convex upper bound and majorization

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  • Cheung, Ka Chun

Abstract

When the dependence structure among several risks is unknown, it is common in the actuarial literature to study the worst dependence structure that gives rise to the riskiest aggregate loss. A central result is that the aggregate loss is the riskiest with respect to convex order when the underlying risks are comonotonic. Many proofs were given before. The objective of this article is to present a new proof using the notions of decreasing rearrangement and the majorization theorem, and give clear explanation of the relation between convex order, the theory of majorization and comonotonicity.

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  • Cheung, Ka Chun, 2010. "Comonotonic convex upper bound and majorization," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 154-158, October.
    • Handle: RePEc:eee:insuma:v:47:y:2010:i:2:p:154-158
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    References listed on IDEAS

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    Cited by:

    1. Cheung, Ka Chun, 2010. "Characterizing a comonotonic random vector by the distribution of the sum of its components," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 130-136, October.
    2. Chuancun Yin & Dan Zhu, 2016. "Sharp Convex Bounds on the Aggregate Sums–An Alternative Proof," Risks, MDPI, vol. 4(4), pages 1-8, September.

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