Characterization of upper comonotonicity via tail convex order

被引：20
|
作者：
Nam, Hee Seok [1 ]
Tang, Qihe [1 ]
Yang, Fan
机构：
[1] Univ Iowa, Dept Stat & Actuarial Sci, Iowa City, IA 52242 USA
来源：
INSURANCE MATHEMATICS & ECONOMICS | 2011年 / 48卷 / 03期
关键词：
Comonotonicity; Upper comonotonicity; Tail convex order; Haezendonck risk measures; RISK MEASURES; ACTUARIAL SCIENCE; FINANCE;
D O I：
10.1016/j.insmatheco.2011.01.003
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper, we show a characterization of upper comonotonicity via tail convex order. For any given marginal distributions, a maximal random vector with respect to tail convex order is proved to be upper comonotonic under suitable conditions. As an application, we consider the computation of the Haezendonck risk measure of the sum of upper comonotonic random variables with exponential marginal distributions. (C) 2011 Elsevier B.V. All rights reserved.
引用
收藏
页码：368 / 373
页数：6
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