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Article: Improved convex upper bound via conditional comonotonicity
Title | Improved convex upper bound via conditional comonotonicity |
---|---|
Authors | |
Keywords | Comonotonicity Conditional Comonotonicity Convex Order Regular Conditional Distribution |
Issue Date | 2008 |
Publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime |
Citation | Insurance: Mathematics And Economics, 2008, v. 42 n. 2, p. 651-655 How to Cite? |
Abstract | Comonotonicity provides a convenient convex upper bound for a sum of random variables with arbitrary dependence structure. Improved convex upper bound was introduced via conditioning by Kaas et al. [Kaas, R., Dhaene, J., Goovaerts, M., 2000. Upper and lower bounds for sums of random variables. Insurance: Math. Econ. 27, 151-168]. In this paper, we unify these results in a more general context using the concept of conditional comonotonicity. We also construct an approximating sequence of convex upper bounds with nice convergence properties. © 2007 Elsevier Ltd. All rights reserved. |
Persistent Identifier | http://hdl.handle.net/10722/172445 |
ISSN | 2023 Impact Factor: 1.9 2023 SCImago Journal Rankings: 1.113 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
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dc.contributor.author | Cheung, KC | en_US |
dc.date.accessioned | 2012-10-30T06:22:33Z | - |
dc.date.available | 2012-10-30T06:22:33Z | - |
dc.date.issued | 2008 | en_US |
dc.identifier.citation | Insurance: Mathematics And Economics, 2008, v. 42 n. 2, p. 651-655 | en_US |
dc.identifier.issn | 0167-6687 | en_US |
dc.identifier.uri | http://hdl.handle.net/10722/172445 | - |
dc.description.abstract | Comonotonicity provides a convenient convex upper bound for a sum of random variables with arbitrary dependence structure. Improved convex upper bound was introduced via conditioning by Kaas et al. [Kaas, R., Dhaene, J., Goovaerts, M., 2000. Upper and lower bounds for sums of random variables. Insurance: Math. Econ. 27, 151-168]. In this paper, we unify these results in a more general context using the concept of conditional comonotonicity. We also construct an approximating sequence of convex upper bounds with nice convergence properties. © 2007 Elsevier Ltd. All rights reserved. | 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 | Conditional Comonotonicity | en_US |
dc.subject | Convex Order | en_US |
dc.subject | Regular Conditional Distribution | en_US |
dc.title | Improved convex upper bound via conditional comonotonicity | 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.2007.07.004 | en_US |
dc.identifier.scopus | eid_2-s2.0-40949123449 | en_US |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-40949123449&selection=ref&src=s&origin=recordpage | en_US |
dc.identifier.volume | 42 | en_US |
dc.identifier.issue | 2 | en_US |
dc.identifier.spage | 651 | en_US |
dc.identifier.epage | 655 | en_US |
dc.identifier.isi | WOS:000255505900019 | - |
dc.publisher.place | Netherlands | en_US |
dc.identifier.scopusauthorid | Cheung, KC=10038874000 | en_US |
dc.identifier.issnl | 0167-6687 | - |