Characterization of upper comonotonicity via tail convex order
In this paper, we show a characterization of upper comonotonicity via tail convex order. For any given marginal distributions, a maximal random vector with respect to tail convex order is proved to be upper comonotonic under suitable conditions. As an application, we consider the computation of the Haezendonck risk measure of the sum of upper comonotonic random variables with exponential marginal distributions.
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- Cheung, Ka Chun, 2008. "Characterization of comonotonicity using convex order," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 403-406, December.
- Bellini, Fabio & Rosazza Gianin, Emanuela, 2008. "On Haezendonck risk measures," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 986-994, June.
- Haezendonck, J. & Goovaerts, M., 1982. "A new premium calculation principle based on Orlicz norms," Insurance: Mathematics and Economics, Elsevier, vol. 1(1), pages 41-53, January.
- Bellini Fabio & Rosazza Gianin Emanuela, 2008. "Optimal portfolios with Haezendonck risk measures," Statistics & Risk Modeling, De Gruyter, vol. 26(2), pages 89-108, March.
- Cheung, Ka Chun, 2010. "Characterizing a comonotonic random vector by the distribution of the sum of its components," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 130-136, October.
- 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.
- Goovaerts, Marc J. & Kaas, Rob & Dhaene, Jan & Tang, Qihe, 2004. "Some new classes of consistent risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 34(3), pages 505-516, June.
- Dong, Jing & Cheung, Ka Chun & Yang, Hailiang, 2010. "Upper comonotonicity and convex upper bounds for sums of random variables," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 159-166, October.
- Cheung, Ka Chun, 2009. "Upper comonotonicity," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 35-40, August.
- 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.
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