File Download

There are no files associated with this item.

  Links for fulltext
     (May Require Subscription)
Supplementary

Article: An overview of conditional comonotonicity and its applications

TitleAn overview of conditional comonotonicity and its applications
Authors
KeywordsComonotonicity
conditional comonotonicity
convex order
Issue Date2012
Citation
Risk And Decision Analysis, 2012, v. 3 n. 1-2, p. 67-73 How to Cite?
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
2015 SCImago Journal Rankings: 0.112
References

 

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

Export via OAI-PMH Interface in XML Formats


OR


Export to Other Non-XML Formats