Measuring Comonotonicity in M-Dimensional Vectors

DOI10.2143/AST.41.1.2084391zbMath1214.62066OpenAlexW2281413552MaRDI QIDQ3008261

Inge Koch, Ann De Schepper

Publication date: 15 June 2011

Full work available at URL: https://econpapers.repec.org/RePEc:cup:astinb:v:41:y:2011:i:01:p:191-213_00

zbMATH Keywords

correlationconcordancecopulasdependence

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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