Characterizations of Conditional Comonotonicity

DOI10.1239/jap/1189717532zbMath1143.62030OpenAlexW1963541556MaRDI QIDQ5440634

Ka Chun Cheung

Publication date: 5 February 2008

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1189717532

zbMATH Keywords

comonotonicityconditional comonotonicity

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Distribution theory (60E99)

Related Items (6)

Conditional quantiles: an operator-theoretical approach ⋮ Tail comonotonicity: properties, constructions, and asymptotic additivity of risk measures ⋮ Applications of conditional comonotonicity to some optimization problems ⋮ Comonotonicity and low volatility effect ⋮ Borch's theorem from the perspective of comonotonicity ⋮ Bounds for sums of random variables when the marginal distributions and the variance of the sum are given

Cites Work

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• Conditional comonotonicity
• Integral Representation Without Additivity
• A Simple Geometric Proof that Comonotonic Risks Have the Convex-Largest Sum
• The Dual Theory of Choice under Risk
• Existence of Conditional Probabilities.
• Upper and lower bounds for sums of random variables

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