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Article: Comonotonic convex upper bound and majorization

TitleComonotonic convex upper bound and majorization
Authors
KeywordsComonotonicity
Convex Order
Decreasing Rearrangement
Majorization
Issue Date2010
PublisherElsevier 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?
AbstractWhen 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 Identifierhttp://hdl.handle.net/10722/172475
ISSN
2015 Impact Factor: 1.378
2015 SCImago Journal Rankings: 1.000
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorCheung, KCen_US
dc.date.accessioned2012-10-30T06:22:42Z-
dc.date.available2012-10-30T06:22:42Z-
dc.date.issued2010en_US
dc.identifier.citationInsurance: Mathematics And Economics, 2010, v. 47 n. 2, p. 154-158en_US
dc.identifier.issn0167-6687en_US
dc.identifier.urihttp://hdl.handle.net/10722/172475-
dc.description.abstractWhen 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.languageengen_US
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/imeen_US
dc.relation.ispartofInsurance: Mathematics and Economicsen_US
dc.subjectComonotonicityen_US
dc.subjectConvex Orderen_US
dc.subjectDecreasing Rearrangementen_US
dc.subjectMajorizationen_US
dc.titleComonotonic convex upper bound and majorizationen_US
dc.typeArticleen_US
dc.identifier.emailCheung, KC: kccg@hku.hken_US
dc.identifier.authorityCheung, KC=rp00677en_US
dc.description.naturelink_to_subscribed_fulltexten_US
dc.identifier.doi10.1016/j.insmatheco.2010.06.001en_US
dc.identifier.scopuseid_2-s2.0-77955656077en_US
dc.identifier.hkuros170620-
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-77955656077&selection=ref&src=s&origin=recordpageen_US
dc.identifier.volume47en_US
dc.identifier.issue2en_US
dc.identifier.spage154en_US
dc.identifier.epage158en_US
dc.identifier.eissn1873-5959-
dc.identifier.isiWOS:000281982000007-
dc.publisher.placeNetherlandsen_US
dc.identifier.scopusauthoridCheung, KC=10038874000en_US
dc.identifier.citeulike7377674-

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