A new proof of Cheung's characterization of comonotonicity
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- Rob Kaas & Marc Goovaerts & Jan Dhaene & Michel Denuit, 2008. "Modern Actuarial Risk Theory," Springer Books, Springer, edition 2, number 978-3-540-70998-5, February.
- Dhaene, J. & Denuit, M. & Goovaerts, M. J. & Kaas, R. & Vyncke, D., 2002. "The concept of comonotonicity in actuarial science and finance: theory," Insurance: Mathematics and Economics, Elsevier, vol. 31(1), pages 3-33, August.
- Dhaene, J. & Denuit, M. & Goovaerts, M. J. & Kaas, R. & Vyncke, D., 2002. "The concept of comonotonicity in actuarial science and finance: applications," Insurance: Mathematics and Economics, Elsevier, vol. 31(2), pages 133-161, October.
- Cheung, Ka Chun, 2008. "Characterization of comonotonicity using convex order," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 403-406, December.
- Kaas, R. & Dhaene, J. & Vyncke, D. & Goovaerts, M.J. & Denuit, M., 2002. "A Simple Geometric Proof that Comonotonic Risks Have the Convex-Largest Sum," ASTIN Bulletin, Cambridge University Press, vol. 32(1), pages 71-80, May.
- 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.
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Cited by:
- Chuancun Yin, 2015. "Remarks on equality of two distributions under some partial orders," Papers 1505.04485, arXiv.org.
- Chuancun Yin & Dan Zhu, 2016. "Sharp convex bounds on the aggregate sums--An alternative proof," Papers 1603.05373, arXiv.org, revised May 2016.
- Cheung, Ka Chun & Lo, Ambrose, 2013. "Characterizations of counter-monotonicity and upper comonotonicity by (tail) convex order," Insurance: Mathematics and Economics, Elsevier, vol. 53(2), pages 334-342.
- 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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Keywords
Comonotonicity The convex order [alpha]-mixed inverse function;Statistics
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