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Extensions of the notion of overall comonotonicity to partial comonotonicity

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  • Zhang, Lianzeng
  • Duan, Baige

Abstract

The overall comonotonicity has become popular in actuarial science and finance over the last decade. As a further step, the notion of upper comonotonicity has recently been proposed. Using the technique of distributional representation we provide a unified method to extend the notion of comonotonicity further to lower comonotonicity, tail comonotonicity, and interval comonotonicity respectively. Numerical illustrations are provided to make a comparison among these different types of dependence structures. The numerical results can be explained to some extent by the sum of uniform (0,1) random variables, for which we obtain explicit formulae for the probability density functions of the sum of two random variables in partial comonotonicity cases. For higher dimension cases, it becomes complicated to find the corresponding explicit formulae.

Suggested Citation

  • Zhang, Lianzeng & Duan, Baige, 2013. "Extensions of the notion of overall comonotonicity to partial comonotonicity," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 457-464.
    • Handle: RePEc:eee:insuma:v:52:y:2013:i:3:p:457-464
    DOI: 10.1016/j.insmatheco.2013.01.009
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    References listed on IDEAS

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    1. Dhaene, J. & Denuit, M. & Goovaerts, M. J. & Kaas, R. & Vyncke, D., 2002. "The concept of comonotonicity in actuarial science and finance: theory," Insurance: Mathematics and Economics, Elsevier, vol. 31(1), pages 3-33, August.
    2. Dhaene, J. & Denuit, M. & Goovaerts, M. J. & Kaas, R. & Vyncke, D., 2002. "The concept of comonotonicity in actuarial science and finance: applications," Insurance: Mathematics and Economics, Elsevier, vol. 31(2), pages 133-161, October.
    3. Cheung, Ka Chun, 2009. "Upper comonotonicity," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 35-40, August.
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    1. Durante, Fabrizio & Fernández Sánchez, Juan & Sempi, Carlo, 2013. "Multivariate patchwork copulas: A unified approach with applications to partial comonotonicity," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 897-905.

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