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Article: Upper comonotonicity

TitleUpper comonotonicity
Authors
KeywordsComonotonicity
Copula
Risk measure
Tail dependence
Upper comonotonicity
Issue Date2009
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime
Citation
Insurance: Mathematics And Economics, 2009, v. 45 n. 1, p. 35-40 How to Cite?
AbstractIn this article, we study a new notion called upper comonotonicity, which is a generalization of the classical notion of comonotonicity. A random vector is upper-comonotonic if its components are moving in the same direction simultaneously when their values are greater than some thresholds. We provide a characterization of this new notion in terms of both the joint distribution function and the underlying copula. The copula characterization allows us to study the coefficient of upper tail dependence as well as the distributional representation of an upper-comonotonic random vector. As an application to financial economics, we show that the several commonly used risk measures, like the Value-at-Risk, the Tail Value-at-Risk, and the expected shortfall, are additive, not only for sum of comonotonic risks, but also for sum of upper-comonotonic risks, provided that the level of probability is greater than a certain threshold. © 2009 Elsevier B.V. All rights reserved.
Persistent Identifierhttp://hdl.handle.net/10722/59861
ISSN
2015 Impact Factor: 1.378
2015 SCImago Journal Rankings: 1.000
ISI Accession Number ID
Funding AgencyGrant Number
University of Hong Kong
Funding Information:

This work was supported by a start-up fund of The University of Hong Kong. The author is grateful to Professor Steven Vanduffel for inspiring discussion. The author also wishes to thank the anonymous referee for helpful comments and suggestions that greatly improve the manuscript.

References

 

DC FieldValueLanguage
dc.contributor.authorCheung, KCen_HK
dc.date.accessioned2010-05-31T03:58:58Z-
dc.date.available2010-05-31T03:58:58Z-
dc.date.issued2009en_HK
dc.identifier.citationInsurance: Mathematics And Economics, 2009, v. 45 n. 1, p. 35-40en_HK
dc.identifier.issn0167-6687en_HK
dc.identifier.urihttp://hdl.handle.net/10722/59861-
dc.description.abstractIn this article, we study a new notion called upper comonotonicity, which is a generalization of the classical notion of comonotonicity. A random vector is upper-comonotonic if its components are moving in the same direction simultaneously when their values are greater than some thresholds. We provide a characterization of this new notion in terms of both the joint distribution function and the underlying copula. The copula characterization allows us to study the coefficient of upper tail dependence as well as the distributional representation of an upper-comonotonic random vector. As an application to financial economics, we show that the several commonly used risk measures, like the Value-at-Risk, the Tail Value-at-Risk, and the expected shortfall, are additive, not only for sum of comonotonic risks, but also for sum of upper-comonotonic risks, provided that the level of probability is greater than a certain threshold. © 2009 Elsevier B.V. All rights reserved.en_HK
dc.languageengen_HK
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/imeen_HK
dc.relation.ispartofInsurance: Mathematics and Economicsen_HK
dc.rightsInsurance: Mathematics and Economics. Copyright © Elsevier BV.en_HK
dc.subjectComonotonicityen_HK
dc.subjectCopulaen_HK
dc.subjectRisk measureen_HK
dc.subjectTail dependenceen_HK
dc.subjectUpper comonotonicityen_HK
dc.titleUpper comonotonicityen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0167-6687&volume=45&spage=35&epage=40&date=2009&atitle=Upper+comonotonicityen_HK
dc.identifier.emailCheung, KC: kccg@hku.hken_HK
dc.identifier.authorityCheung, KC=rp00677en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1016/j.insmatheco.2009.03.003en_HK
dc.identifier.scopuseid_2-s2.0-67650093480en_HK
dc.identifier.hkuros154685en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-67650093480&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume45en_HK
dc.identifier.issue1en_HK
dc.identifier.spage35en_HK
dc.identifier.epage40en_HK
dc.identifier.eissn1873-5959-
dc.identifier.isiWOS:000268952900005-
dc.publisher.placeNetherlandsen_HK
dc.identifier.scopusauthoridCheung, KC=10038874000en_HK
dc.identifier.citeulike5331392-

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