Characterization of upper comonotonicity via tail convex order

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.

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Year of publication:	2011
Authors:	Nam, Hee Seok ; Tang, Qihe ; Yang, Fan
Published in:	Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 48.2011, 3, p. 368-373
Publisher:	Elsevier
Keywords:	IM30 IE43 Comonotonicity Upper comonotonicity Tail convex order Haezendonck risk measures

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

Persistent link: https://www.econbiz.de/10008865424