File Download
There are no files associated with this item.
Links for fulltext
(May Require Subscription)
- Publisher Website: 10.1016/j.insmatheco.2010.06.001
- Scopus: eid_2-s2.0-77955656077
- WOS: WOS:000281982000007
- Find via
Supplementary
- Citations:
- Appears in Collections:
Article: Comonotonic convex upper bound and majorization
Title | Comonotonic convex upper bound and majorization |
---|---|
Authors | |
Keywords | Comonotonicity Convex Order Decreasing Rearrangement Majorization |
Issue Date | 2010 |
Publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime |
Citation | Insurance: Mathematics And Economics, 2010, v. 47 n. 2, p. 154-158 How to Cite? |
Abstract | When the dependence structure among several risks is unknown, it is common in the actuarial literature to study the worst dependence structure that gives rise to the riskiest aggregate loss. A central result is that the aggregate loss is the riskiest with respect to convex order when the underlying risks are comonotonic. Many proofs were given before. The objective of this article is to present a new proof using the notions of decreasing rearrangement and the majorization theorem, and give clear explanation of the relation between convex order, the theory of majorization and comonotonicity. © 2010 Elsevier B.V. |
Persistent Identifier | http://hdl.handle.net/10722/172475 |
ISSN | 2023 Impact Factor: 1.9 2023 SCImago Journal Rankings: 1.113 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Cheung, KC | en_US |
dc.date.accessioned | 2012-10-30T06:22:42Z | - |
dc.date.available | 2012-10-30T06:22:42Z | - |
dc.date.issued | 2010 | en_US |
dc.identifier.citation | Insurance: Mathematics And Economics, 2010, v. 47 n. 2, p. 154-158 | en_US |
dc.identifier.issn | 0167-6687 | en_US |
dc.identifier.uri | http://hdl.handle.net/10722/172475 | - |
dc.description.abstract | When the dependence structure among several risks is unknown, it is common in the actuarial literature to study the worst dependence structure that gives rise to the riskiest aggregate loss. A central result is that the aggregate loss is the riskiest with respect to convex order when the underlying risks are comonotonic. Many proofs were given before. The objective of this article is to present a new proof using the notions of decreasing rearrangement and the majorization theorem, and give clear explanation of the relation between convex order, the theory of majorization and comonotonicity. © 2010 Elsevier B.V. | en_US |
dc.language | eng | en_US |
dc.publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime | en_US |
dc.relation.ispartof | Insurance: Mathematics and Economics | en_US |
dc.subject | Comonotonicity | en_US |
dc.subject | Convex Order | en_US |
dc.subject | Decreasing Rearrangement | en_US |
dc.subject | Majorization | en_US |
dc.title | Comonotonic convex upper bound and majorization | en_US |
dc.type | Article | en_US |
dc.identifier.email | Cheung, KC: kccg@hku.hk | en_US |
dc.identifier.authority | Cheung, KC=rp00677 | en_US |
dc.description.nature | link_to_subscribed_fulltext | en_US |
dc.identifier.doi | 10.1016/j.insmatheco.2010.06.001 | en_US |
dc.identifier.scopus | eid_2-s2.0-77955656077 | en_US |
dc.identifier.hkuros | 170620 | - |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-77955656077&selection=ref&src=s&origin=recordpage | en_US |
dc.identifier.volume | 47 | en_US |
dc.identifier.issue | 2 | en_US |
dc.identifier.spage | 154 | en_US |
dc.identifier.epage | 158 | en_US |
dc.identifier.eissn | 1873-5959 | - |
dc.identifier.isi | WOS:000281982000007 | - |
dc.publisher.place | Netherlands | en_US |
dc.identifier.scopusauthorid | Cheung, KC=10038874000 | en_US |
dc.identifier.citeulike | 7377674 | - |
dc.identifier.issnl | 0167-6687 | - |