Improved convex upper bound via conditional comonotonicity

DOI10.1016/j.insmatheco.2007.07.004zbMath1152.91571OpenAlexW2018761396MaRDI QIDQ998279

Ka Chun Cheung

Publication date: 28 January 2009

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.07.004

zbMATH Keywords

comonotonicityconvex orderregular conditional distributionconditional comonotonicity

Mathematics Subject Classification ID

Related Items (5)

Applications of conditional comonotonicity to some optimization problems ⋮ Upper comonotonicity and convex upper bounds for sums of random variables ⋮ Comonotonicity and low volatility effect ⋮ Characterizations of Conditional Comonotonicity ⋮ Bounds for sums of random variables when the marginal distributions and the variance of the sum are given

Cites Work

• The concept of comonotonicity in actuarial science and finance: theory.
• The concept of comonotonicity in actuarial science and finance: applications.
• Conditional comonotonicity
• A Simple Geometric Proof that Comonotonic Risks Have the Convex-Largest Sum
• Upper and lower bounds for sums of random variables
• Unnamed Item

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