Characterization of upper comonotonicity via tail convex order

DOI10.1016/j.insmatheco.2011.01.003zbMath1222.60022OpenAlexW2019211300MaRDI QIDQ2276242

Fan Yang, Hee-Seok Nam, Qi-he Tang

Publication date: 1 August 2011

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.01.003

zbMATH Keywords

comonotonicityupper comonotonicityHaezendonck risk measurestail convex order

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Hypothesis testing in multivariate analysis (62H15)

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