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Comonotonicity

Author

Listed:
  • J. Dhaene
  • S. Vanduffel
  • M. Goovaerts

Abstract

In an actuarial or financial context one often encounters the calculation of risk measures of random variables of the type S r:1 Xi' In many applications, the individual risks Xi are not mutually independent, for example because their outcomes are all influenced by the same economic or physical environment. Comonotonicity, which is an extremal form of positive dependence, can be used to determine easy to compute and accurate upper and lower bounds for the distribution of S, and hence, also for risk measures related to S.

Suggested Citation

  • J. Dhaene & S. Vanduffel & M. Goovaerts, 2007. "Comonotonicity," Review of Business and Economic Literature, KU Leuven, Faculty of Economics and Business (FEB), Review of Business and Economic Literature, vol. 0(2), pages 265-278.
    • Handle: RePEc:ete:revbec:20070204
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