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The concept of comonotonicity in actuarial science and finance: applications

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Author Info
Dhaene, J.
Denuit, M.
Goovaerts, M. J.
Kaas, R.
Vyncke, D.

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File URL: http://www.sciencedirect.com/science/article/B6V8N-46YV962-2/2/1dbf3cfc4d75edca6e993e7d5ab9de43
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Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

Volume (Year): 31 (2002)
Issue (Month): 2 (October)
Pages: 133-161
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Handle: RePEc:eee:insuma:v:31:y:2002:i:2:p:133-161

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Web page: http://www.elsevier.com/locate/inca/505554

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  1. Koch I. & De Schepper A., 2006. "The comonotonicity coefficient: a new measure of positive dependence in a multivariate setting," Working Papers 2006030, University of Antwerp, Faculty of Applied Economics. [Downloadable!]
  2. Elyès Jouini & Clotilde Napp, 2004. "Conditional comonotonicity," Decisions in Economics and Finance, Springer, vol. 27(2), pages 153-166, December. [Downloadable!] (restricted)
    Other versions:
  3. André Lapied & Robert Kast, 2005. "Updating Choquet valuation and discounting information arrivals," Working Papers 05-09, LAMETA, Universtiy of Montpellier, revised Jan 2005. [Downloadable!]
    Other versions:
  4. Antonella Campana, 2007. "On Tail Value-at-Risk for sums of non-independent random variables with a generalized Pareto distribution," The Geneva Papers on Risk and Insurance Theory, Springer, vol. 32(2), pages 169-180, December. [Downloadable!] (restricted)
  5. J. Marin-Solano (Universitat de Barcelona) & O. Roch (Universitat de Barcelona) & J. Dhaene (Katholieke Univerisiteit Leuven) & C. Ribas (Universitat de Barcelona) & M. Bosch-Princep (Universitat de B, 2009. "Buy-and-Hold Strategies and Comonotonic Approximations," Working Papers in Economics 213, Universitat de Barcelona. Espai de Recerca en Economia. [Downloadable!]
  6. Antonella Campana & Paola Ferretti, 2005. "Distortion Risk Measures and Discrete Risks," Game Theory and Information 0510013, EconWPA. [Downloadable!]
  7. Marc J. Goovaerts & Rob Kaas & Roger J.A. Laeven & Qihe Tang, 2004. "A Comonotonic Image of Independence for Additive Risk Measures," Tinbergen Institute Discussion Papers 04-030/4, Tinbergen Institute. [Downloadable!]
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  8. Carry Mout, 2006. "An Upper Bound of the Sum of Risks: two Applications of Comonotonicity," DNB Working Papers 105, Netherlands Central Bank, Research Department. [Downloadable!]
  9. Antonella Campana & Paola Ferretti, 2006. "On Bounds for Concave Distortion Risk Measures for Sums of Risks," Working Papers 146, Department of Applied Mathematics, University of Venice. [Downloadable!]
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