Weak comonotonicity
From MaRDI portal
Publication:2282525
DOI10.1016/j.ejor.2019.09.019zbMath1431.91446arXiv1812.04827OpenAlexW4237409883MaRDI QIDQ2282525
Publication date: 8 January 2020
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1812.04827
Related Items (2)
Risk measures induced by efficient insurance contracts ⋮ Inf-Convolution, Optimal Allocations, and Model Uncertainty for Tail Risk Measures
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Stochastic finance. An introduction in discrete time.
- Characterizing a comonotonic random vector by the distribution of the sum of its components
- Pareto efficiency for the concave order and multivariate comonotonicity
- Aggregation-robustness and model uncertainty of regulatory risk measures
- Seven proofs for the subadditivity of expected shortfall
- Multivariate comonotonicity
- On convex principles of premium calculation
- Monotone dependence
- Non-additive measure and integral
- The concept of comonotonicity in actuarial science and finance: theory.
- The concept of comonotonicity in actuarial science and finance: applications.
- Extremal dependence concepts
- Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities
- Mathematical Risk Analysis
- Dependence Modeling with Copulas
- Random variables with maximum sums
- Estimates for the Distribution Function of a Sum of Two Random Variables When the Marginal Distributions are Fixed
- Integral Representation Without Additivity
- Statistics and Truth
- The Dual Theory of Choice under Risk
- COMONOTONIC MEASURES OF MULTIVARIATE RISKS
- Quantile-Based Risk Sharing
- Weighted Pricing Functionals With Applications to Insurance
- Some Concepts of Dependence
- Association of Random Variables, with Applications
This page was built for publication: Weak comonotonicity
