Characterizations of counter-monotonicity and upper comonotonicity by (tail) convex order
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DOI: 10.1016/j.insmatheco.2013.06.004
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- 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.
- Dong, Jing & Cheung, Ka Chun & Yang, Hailiang, 2010. "Upper comonotonicity and convex upper bounds for sums of random variables," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 159-166, October.
- Cheung, Ka Chun, 2008. "Characterization of comonotonicity using convex order," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 403-406, December.
- Cheung, Ka Chun, 2009. "Upper comonotonicity," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 35-40, August.
- J. Dhaene & R. J. A. Laeven & S. Vanduffel & G. Darkiewicz & M. J. Goovaerts, 2008. "Can a Coherent Risk Measure Be Too Subadditive?," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 75(2), pages 365-386, June.
- Nam, Hee Seok & Tang, Qihe & Yang, Fan, 2011. "Characterization of upper comonotonicity via tail convex order," Insurance: Mathematics and Economics, Elsevier, vol. 48(3), pages 368-373, May.
- Mao, Tiantian & Hu, Taizhong, 2011. "A new proof of Cheung's characterization of comonotonicity," Insurance: Mathematics and Economics, Elsevier, vol. 48(2), pages 214-216, March.
- 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:
- Alfonso J. Bello & Julio Mulero & Miguel A. Sordo & Alfonso Suárez-Llorens, 2020. "On Partial Stochastic Comparisons Based on Tail Values at Risk," Mathematics, MDPI, vol. 8(7), pages 1-12, July.
- Ka Chun Cheung & Michel Denuit & Jan Dhaene, 2017.
"Tail mutual exclusivity and Tail-VaR lower bounds,"
Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2017(1), pages 88-104, January.
- Cheung, Ka Chung & Denuit, Michel & Dhaene, Jan, 2015. "Tail mutual exclusivity and Tail-VaR lower bounds," LIDAM Discussion Papers ISBA 2015002, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Cheung, Ka Chun & Denuit, Michel & Dhaene, Jan, 2017. "Tail mutual exclusivity and Tail-VaR lower bounds," LIDAM Reprints ISBA 2017004, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Ka Chun Cheung & Michel Denuit & Jan Dhaene, 2015. "Tail mutual exclusivity and tail-var lower bounds," Working Papers Department of Accountancy, Finance and Insurance (AFI), Leuven 485580, KU Leuven, Faculty of Economics and Business (FEB), Department of Accountancy, Finance and Insurance (AFI), Leuven.
- Ka Chun Cheung & Michel Denuit & Jan Dhaene, 2015. "Tail Mutual Exclusivity and Tail-Var Lower Bounds," Tinbergen Institute Discussion Papers 15-024/IV/DSF86, Tinbergen Institute.
- Cheung, Ka Chun & Lo, Ambrose, 2013. "General lower bounds on convex functionals of aggregate sums," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 884-896.
- Cheung, Ka Chun & Dhaene, Jan & Lo, Ambrose & Tang, Qihe, 2014. "Reducing risk by merging counter-monotonic risks," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 58-65.
- Durante, Fabrizio & Fernández Sánchez, Juan & Sempi, Carlo, 2013. "Multivariate patchwork copulas: A unified approach with applications to partial comonotonicity," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 897-905.
- Chaoubi, Ihsan & Cossette, Hélène & Gadoury, Simon-Pierre & Marceau, Etienne, 2020. "On sums of two counter-monotonic risks," Insurance: Mathematics and Economics, Elsevier, vol. 92(C), pages 47-60.
- Chuancun Yin & Dan Zhu, 2016. "Sharp Convex Bounds on the Aggregate Sums–An Alternative Proof," Risks, MDPI, vol. 4(4), pages 1-8, September.
- Cheung, Ka Chun & Lo, Ambrose, 2014. "Characterizing mutual exclusivity as the strongest negative multivariate dependence structure," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 180-190.
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Keywords
Counter-monotonicity; Upper comonotonicity; Convex order; Tail convex order; Risk measures;All these keywords.
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