Characterization of comonotonicity using convex order

It is well known that if a random vector with given marginal distributions is comonotonic, it has the largest sum with respect to the convex order. In this paper, we prove that the converse is also true, provided that each marginal distribution is continuous.

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Year of publication:	2008
Authors:	Cheung, Ka Chun
Published in:	Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 43.2008, 3, p. 403-406
Publisher:	Elsevier
Keywords:	Comonotonicity Convex order Frechet upper bound

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005374686