Multivariate countermonotonicity and the minimal copulas

DOI10.1016/j.cam.2016.12.032zbMath1359.62168OpenAlexW2566058289MaRDI QIDQ508035

Jae Youn Ahn, Ka Chun Cheung, Woo-Joo Lee

Publication date: 9 February 2017

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2016.12.032

zbMATH Keywords

variance minimizationcomonotonicitycountermonotonicityminimal copula

Mathematics Subject Classification ID

Related Items (7)

Trade and currency options hedging model ⋮ Measuring herd behavior: properties and pitfalls ⋮ Characterizations of copulas attaining the bounds of multivariate Kendall's tau ⋮ Pairwise counter-monotonicity ⋮ High dimensional Bernoulli distributions: algebraic representation and applications ⋮ On minimal copulas under the concordance order ⋮ On sums of two counter-monotonic risks

Uses Software

• CopulaModel

Cites Work

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• Extremal dependence concepts
• Multivariate concordance
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• Reducing risk by merging counter-monotonic risks
• Negative dependence concept in copulas and the marginal free herd behavior index
• Choosing joint distributions so that the variance of the sum is small
• On the multidimensional extension of countermonotonicity and its applications
• Characterizations of counter-monotonicity and upper comonotonicity by (tail) convex order
• Characterization of comonotonicity using convex order
• Improved Fréchet Bounds and Model-Free Pricing of Multi-Asset Options
• Joint Mixability
• Dependence Modeling with Copulas
• Risk Measures and Comonotonicity: A Review
• Tail Conditional Expectations for Elliptical Distributions

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