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Article: Characterization of comonotonicity using convex order

TitleCharacterization of comonotonicity using convex order
Authors
KeywordsComonotonicity
Convex order
Fréchet upper bound
Issue Date2008
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime
Citation
Insurance: Mathematics And Economics, 2008, v. 43 n. 3, p. 403-406 How to Cite?
AbstractIt is well known that if a random vector with given marginal distributions is comonotonic, it has the largest sum with respect to the convex order. In this paper, we prove that the converse is also true, provided that each marginal distribution is continuous. © 2008 Elsevier B.V. All rights reserved.
Persistent Identifierhttp://hdl.handle.net/10722/59874
ISSN
2015 Impact Factor: 1.378
2015 SCImago Journal Rankings: 1.000
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorCheung, KCen_HK
dc.date.accessioned2010-05-31T03:59:12Z-
dc.date.available2010-05-31T03:59:12Z-
dc.date.issued2008en_HK
dc.identifier.citationInsurance: Mathematics And Economics, 2008, v. 43 n. 3, p. 403-406en_HK
dc.identifier.issn0167-6687en_HK
dc.identifier.urihttp://hdl.handle.net/10722/59874-
dc.description.abstractIt is well known that if a random vector with given marginal distributions is comonotonic, it has the largest sum with respect to the convex order. In this paper, we prove that the converse is also true, provided that each marginal distribution is continuous. © 2008 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.subjectConvex orderen_HK
dc.subjectFréchet upper bounden_HK
dc.titleCharacterization of comonotonicity using convex orderen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0167-6687&volume=43&spage=403&epage=406&date=2008&atitle=Characterization+of+comonotonicity+using+convex+orderen_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.2008.08.002en_HK
dc.identifier.scopuseid_2-s2.0-56549128081en_HK
dc.identifier.hkuros153698en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-56549128081&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume43en_HK
dc.identifier.issue3en_HK
dc.identifier.spage403en_HK
dc.identifier.epage406en_HK
dc.identifier.isiWOS:000261920500013-
dc.publisher.placeNetherlandsen_HK
dc.identifier.scopusauthoridCheung, KC=10038874000en_HK

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