Characterization of comonotonicity using convex order
It is well known that if a random vector with given marginal distributions is comonotonic, it has the largest sum with respect to the convex order. In this paper, we prove that the converse is also true, provided that each marginal distribution is continuous.
Year of publication: |
2008
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Authors: | Cheung, Ka Chun |
Published in: |
Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 43.2008, 3, p. 403-406
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Publisher: |
Elsevier |
Keywords: | Comonotonicity Convex order Frechet upper bound |
Saved in:
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