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A Simple Geometric Proof that Comonotonic Risks have the Convex-largest Sum

In the recent actuarial literature, several proofs have been given for the fact that if a random vector (XI, X2, ..., X~) with given marginals has a comonotonic joint distribution, the sum XI + X2 + ...+ Xn is the largest possible in convex order...

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Year of publication:	2002-05-01
Authors:	Kaas, R. ; Dhaene, J. ; Vyncke, D. ; Goovaerts, M.J. ; Denuit, M.
Institutions:	International Actuarial Association / Actuarial Studies in Non-Life Insurance
Published in:	Casualty Actuarial Society - Publications ASTIN BULLETIN ; Vol. 32 - No. 1 - 2002, 71-80
Subject:	Versicherungsbetriebslehre \| insurance management \| Versicherungswirtschaft \| Versicherungsmathematik

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Extent:	515072 bytes 10 p. application/pdf
Type of publication:	Article
Language:	English
Classification:	Management of insurance ; Insurance Industry ; Individual Articles ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005847069