A Simple Geometric Proof that Comonotonic Risks Have the Convex-Largest Sum

In the recent actuarial literature, several proofs have been given for the fact that if a random vector (X1,X2, . . .,Xn) with given marginals has a comonotonic joint distribution, the sum X1 + X2 + middot; middot; middot; + Xn is the largest possible in convex order. In this note we give a lucid proof of this fact, based on a geometric interpretation of the support of the comonotonic distribution

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Year of publication:	[2006]
Authors:	Kaas, Rob
Other Persons:	Dhaene, Jan (contributor) ; Vyncke, David (contributor) ; Goovaerts, Marc (contributor) ; Denuit, Michel (contributor)
Publisher:	[2006]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (12 p)
Type of publication:	Book / Working Paper
Notes:	In: ASTIN Bulletin, Vol. 32, No. 1, pp. 71-80, 2002
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012780869