منابع مشابه
Multivariate comonotonicity
In this paper we consider several multivariate extensions of comonotonicity. We show that naive extensions do not enjoy some of the main properties of the univariate concept. In order to have these properties more structure is needed than in the univariate case. AMS 2000 Subject Classification: Primary 60E05, Secondary 90B06.
متن کاملPareto efficiency for the concave order and multivariate comonotonicity
This paper studies efficient risk-sharing rules for the concave dominance order. For a univariate risk, it follows from a comonotone dominance principle, due to Landsberger and Meilijson [27], that efficiency is characterized by a comonotonicity condition. The goal of the paper is to generalize the comonotone dominance principle as well as the equivalence between efficiency and comonotonicity t...
متن کاملCharacterizations of Conditional Comonotonicity
The notion of conditional comonotonicity was first used implicitly by Kaas, Dhaene, and Goovaerts (2000) and was formally introduced by Jouini and Napp (2004) as a generalization of the classical concept of comonotonicity. The objective of the present paper is to further investigate this relatively new concept. The main result is that a random vector is comonotonic conditional to a certain σ -f...
متن کاملSome useful counterexamples regarding comonotonicity
This article gives counterexamples for some conjectures about risk orders. One is that in risky situations, diversification is always beneficial. A counterexample is provided by the Cauchy distribution, for which the sample means have the same distribution as the sample elements, meaning that insuring half the sum of two iid risks of this type is precisely equivalent to insuring one of them ful...
متن کاملCapital requirements, risk measures and comonotonicity
In this paper we examine and summarize properties of several well-known risk measures, with special attention given to the class of distortion risk measures. We investigate the relationship between these risk measures and theories of choice under risk. We also consider the problem of evaluating risk measures for sums of nonindependent random variables and propose approximations based on the con...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2010
ISSN: 0047-259X
DOI: 10.1016/j.jmva.2009.08.003