Characterizing mutual exclusivity as the strongest negative multivariate dependence structure

Ka Chun Cheung and Ambrose Lo

Insurance: Mathematics and Economics, 2014, vol. 55, issue C, 180-190

Abstract: Mutual exclusivity is an extreme negative dependence structure that was first proposed and studied in Dhaene and Denuit (1999) in the context of insurance risks. In this article, we revisit this notion and present versatile characterizations of mutually exclusive random vectors via their pairwise counter-monotonic behaviour, minimal convex sum property, distributional representation and the characteristic function of the sum of their components. These characterizations highlight the role of mutual exclusivity in generalizing counter-monotonicity as the strongest negative dependence structure in a multi-dimensional setting.

Keywords: Mutual exclusivity; Fréchet bounds; Counter-monotonicity; Convex order; Complete mixability (search for similar items in EconPapers)
Date: 2014
References: Add references at CitEc
Citations: View citations in EconPapers (12)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167668714000043
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:55:y:2014:i:c:p:180-190

DOI: 10.1016/j.insmatheco.2014.01.001

Access Statistics for this article

Insurance: Mathematics and Economics is currently edited by R. Kaas, Hansjoerg Albrecher, M. J. Goovaerts and E. S. W. Shiu

More articles in Insurance: Mathematics and Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu (repec@elsevier.com).