Correlation order, merging and diversification

DOI10.1016/j.insmatheco.2009.07.007zbMath1231.91175OpenAlexW3123128557MaRDI QIDQ659149

Steven Vanduffel, Jan Dhaene, Michel M. Denuit

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.2009.07.007

zbMATH Keywords

supermodularitydiversificationcomonotonicityshortfall riskcorrelation order

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Measures of association (correlation, canonical correlation, etc.) (62H20)

Related Items

Insights to systematic risk and diversification across a joint probability distribution, Confidence band for expectation dependence with applications, Optimal capital allocation for individual risk model using a mean-variance principle, Aggregating Risks with Partial Dependence Information, Asymptotics for risk capital allocations based on conditional tail expectation, Characterizing a comonotonic random vector by the distribution of the sum of its components, Validation of positive quadrant dependence, Validation of association

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