Schmidt, Klaus D. - In: Insurance: Mathematics and Economics 55 (2014) C, pp. 91-95
Intuition based on the usual interpretation of the covariance of two random variables suggests that the inequality cov[f(X),g(X)]≥0 should hold for any random variable X and any two increasing functions f and g. The inequality holds indeed, but a proof is hard to find in the literature. In...