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Article: An overview of conditional comonotonicity and its applications

TitleAn overview of conditional comonotonicity and its applications
Authors
Cheung, KC
KeywordsComonotonicity
conditional comonotonicity
convex order
Issue Date2012
Citation
Risk And Decision Analysis, 2012, v. 3 n. 1-2, p. 67-73 How to Cite?
DOI: http://dx.doi.org/10.3233/RDA-2011-0052
AbstractComonotonicity has proved to be a powerful and useful tool in financial economics and actuarial science. Jouini and Napp [Decision in Economics and Finance 27(2) (2004), 153-166] generalized it to a new concept called conditional comonotonicity. While preserving the advantage of being analytically tractable, the extra freedom of the choice of the conditioning map or sigma-field makes this new concept more flexible than the classical concept of comonotonicity. This article serves to provide a systemic overview, together with some of its applications, of this relatively new notion. © 2012 - IOS Press and the authors. All rights reserved.
Persistent Identifierhttp://hdl.handle.net/10722/159901
ISSN
1569-7371
2023 SCImago Journal Rankings: 0.132
References
References in Scopus

 

DC FieldValueLanguage
dc.contributor.authorCheung, KCen_HK
dc.date.accessioned2012-08-16T05:59:09Z-
dc.date.available2012-08-16T05:59:09Z-
dc.date.issued2012en_HK
dc.identifier.citationRisk And Decision Analysis, 2012, v. 3 n. 1-2, p. 67-73en_HK
dc.identifier.issn1569-7371en_HK
dc.identifier.urihttp://hdl.handle.net/10722/159901-
dc.description.abstractComonotonicity has proved to be a powerful and useful tool in financial economics and actuarial science. Jouini and Napp [Decision in Economics and Finance 27(2) (2004), 153-166] generalized it to a new concept called conditional comonotonicity. While preserving the advantage of being analytically tractable, the extra freedom of the choice of the conditioning map or sigma-field makes this new concept more flexible than the classical concept of comonotonicity. This article serves to provide a systemic overview, together with some of its applications, of this relatively new notion. © 2012 - IOS Press and the authors. All rights reserved.en_HK
dc.languageengen_US
dc.relation.ispartofRisk and Decision Analysisen_HK
dc.subjectComonotonicityen_HK
dc.subjectconditional comonotonicityen_HK
dc.subjectconvex orderen_HK
dc.titleAn overview of conditional comonotonicity and its applicationsen_HK
dc.typeArticleen_HK
dc.identifier.emailCheung, KC: kccg@hku.hken_HK
dc.identifier.authorityCheung, KC=rp00677en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.3233/RDA-2011-0052en_HK
dc.identifier.scopuseid_2-s2.0-84855766779en_HK
dc.identifier.hkuros202766en_US
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-84855766779&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume3en_HK
dc.identifier.issue1-2en_HK
dc.identifier.spage67en_HK
dc.identifier.epage73en_HK
dc.identifier.scopusauthoridCheung, KC=10038874000en_HK
dc.identifier.issnl1569-7371-

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