File Download

There are no files associated with this item.

  Links for fulltext
     (May Require Subscription)
Supplementary

Article: Characterizations of conditional comonotonicity

TitleCharacterizations of conditional comonotonicity
Authors
KeywordsComonotonicity
Conditional Comonotonicity
Local Comonotonicity
Measurable Graph Theorem
Projection Theorem
Regular Conditional Distribution
Issue Date2007
PublisherApplied Probability Trust. The Journal's web site is located at http://www.shef.ac.uk/uni/companies/apt/ap.html
Citation
Journal Of Applied Probability, 2007, v. 44 n. 3, p. 607-617 How to Cite?
AbstractThe notion of conditional comonotonicity was first used implicitly by Kaas, Dhaene, and Goovaerts (2000) and was formally introduced by Jouini and Napp (2004) as a generalization of the classical concept of comonotonicity. The objective of the present paper is to further investigate this relatively new concept. The main result is that a random vector is comonotonic conditional to a certain σ-field if and only if it is almost surely comonotonic locally on each atom of the conditioning σ-field. We also provide a new proof of a distributional representation and an almost sure representation of a conditionally comonotonic random vector. © Applied Probability Trust 2007.
Persistent Identifierhttp://hdl.handle.net/10722/172440
ISSN
2015 Impact Factor: 0.665
2015 SCImago Journal Rankings: 0.742
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorKa, CCen_US
dc.date.accessioned2012-10-30T06:22:32Z-
dc.date.available2012-10-30T06:22:32Z-
dc.date.issued2007en_US
dc.identifier.citationJournal Of Applied Probability, 2007, v. 44 n. 3, p. 607-617en_US
dc.identifier.issn0021-9002en_US
dc.identifier.urihttp://hdl.handle.net/10722/172440-
dc.description.abstractThe notion of conditional comonotonicity was first used implicitly by Kaas, Dhaene, and Goovaerts (2000) and was formally introduced by Jouini and Napp (2004) as a generalization of the classical concept of comonotonicity. The objective of the present paper is to further investigate this relatively new concept. The main result is that a random vector is comonotonic conditional to a certain σ-field if and only if it is almost surely comonotonic locally on each atom of the conditioning σ-field. We also provide a new proof of a distributional representation and an almost sure representation of a conditionally comonotonic random vector. © Applied Probability Trust 2007.en_US
dc.languageengen_US
dc.publisherApplied Probability Trust. The Journal's web site is located at http://www.shef.ac.uk/uni/companies/apt/ap.htmlen_US
dc.relation.ispartofJournal of Applied Probabilityen_US
dc.subjectComonotonicityen_US
dc.subjectConditional Comonotonicityen_US
dc.subjectLocal Comonotonicityen_US
dc.subjectMeasurable Graph Theoremen_US
dc.subjectProjection Theoremen_US
dc.subjectRegular Conditional Distributionen_US
dc.titleCharacterizations of conditional comonotonicityen_US
dc.typeArticleen_US
dc.identifier.emailKa, CC: kccg@hku.hken_US
dc.identifier.authorityKa, CC=rp00677en_US
dc.description.naturelink_to_subscribed_fulltexten_US
dc.identifier.doi10.1239/jap/1189717532en_US
dc.identifier.scopuseid_2-s2.0-35348897339en_US
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-35348897339&selection=ref&src=s&origin=recordpageen_US
dc.identifier.volume44en_US
dc.identifier.issue3en_US
dc.identifier.spage607en_US
dc.identifier.epage617en_US
dc.identifier.isiWOS:000249769900003-
dc.publisher.placeUnited Kingdomen_US
dc.identifier.scopusauthoridKa, CC=10038874000en_US

Export via OAI-PMH Interface in XML Formats


OR


Export to Other Non-XML Formats