In this paper we propose a generalization of the comonotonicity notion by introducing and exploring the concept of conditional comonotonicity. We characterize this notion and we show on examples that conditional comonotonicity is the natural extension of the concept of comonotonicity to dynamic settings.
|Date of creation:||2005|
|Date of revision:|
|Publication status:||Published, Decisions in Economics and Finance, 2005, 27, 2, 153-166|
|Note:||View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00151516/en/|
|Contact details of provider:|| Web page: http://hal.archives-ouvertes.fr/|
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