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A new multivariate dependence measure based on comonotonicity

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  • Ying Zhang
  • Chuancun Yin

Abstract

In this paper we introduce a new multivariate dependence measure based on comonotonicity by means of product moment which motivated by the recent papers of Koch and Schepper (ASTIN Bulletin 41 (2011) 191-213) and Dhaene et al. (Journal of Computational and Applied Mathematics 263 (2014) 78-87). Some differences and relations between the new dependence measure and other multivariate measures are an- alyzed. We also give several characteristics of this measure and estimations based on the definitions and its property are presented.

Suggested Citation

  • Ying Zhang & Chuancun Yin, 2014. "A new multivariate dependence measure based on comonotonicity," Papers 1410.7845, arXiv.org.
    • Handle: RePEc:arx:papers:1410.7845
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    References listed on IDEAS

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    4. 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.
    5. Koch, Inge & De Schepper, Ann, 2011. "Measuring Comonotonicity in M-Dimensional Vectors," ASTIN Bulletin, Cambridge University Press, vol. 41(1), pages 191-213, May.
    6. 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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