Title of article :
Characterization of comonotonicity using convex order
Author/Authors :
Cheung، نويسنده , , Ka Chun، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2008
Abstract :
It 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.
Keywords :
Comonotonicity , Convex order , Fréchet upper bound
Journal title :
Insurance Mathematics and Economics
Journal title :
Insurance Mathematics and Economics