Upper comonotonicity
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Publication:659089
DOI10.1016/j.insmatheco.2009.03.003zbMath1231.91158OpenAlexW4245210049MaRDI QIDQ659089
Publication date: 10 February 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.03.003
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Related Items (16)
Monotone tail functions: definitions, properties, and application to risk-reducing strategies ⋮ A note on upper-patched generators for Archimedean copulas ⋮ Ordinal sums: from triangular norms to bi- and multivariate copulas ⋮ Tail behavior of discounted portfolio loss under upper tail comonotonicity ⋮ Extensions of the notion of overall comonotonicity to partial comonotonicity ⋮ On the interplay between distortion, mean value and Haezendonck-Goovaerts risk measures ⋮ Tail comonotonicity: properties, constructions, and asymptotic additivity of risk measures ⋮ Characterizing a comonotonic random vector by the distribution of the sum of its components ⋮ Upper comonotonicity and convex upper bounds for sums of random variables ⋮ Estimators based on trimmed Kendall's tau in multivariate copula models ⋮ Multivariate patchwork copulas: a unified approach with applications to partial comonotonicity ⋮ Characterization of upper comonotonicity via tail convex order ⋮ Characterizations of counter-monotonicity and upper comonotonicity by (tail) convex order ⋮ The use of flexible quantile-based measures in risk assessment ⋮ Bounds for sums of random variables when the marginal distributions and the variance of the sum are given ⋮ Estimation methods for expected shortfall
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