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Characterizations of counter-monotonicity and upper comonotonicity by (tail) convex order

  • Published:2013-09 Issue:2 Volume:53 Page:334-342
  • ISSN:0167-6687
  • Container-title:Insurance: Mathematics and Economics
  • language:en
  • Short-container-title:Insurance: Mathematics and Economics

Author:

Cheung Ka Chun,Lo Ambrose

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference17 articles.

1. Characterization of comonotonicity using convex order;Cheung;Insurance: Mathematics and Economics,2008

2. Upper comonotonicity;Cheung;Insurance: Mathematics and Economics,2009

3. Characterizing a comonotonic random vector by the distribution of the sum of its components;Cheung;Insurance: Mathematics and Economics,2010

4. Ordered random vectors and equality in distribution;Cheung;Scandinavian Actuarial Journal,2013

5. Cheung, K.C., Dhaene, J., Lo, A., Tang, Q., 2013. Reducing risk by merging counter-monotonic risks (submitted for publication).

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