Characterization of comonotonicity using convex order

Ka Chun Cheung

Insurance: Mathematics and Economics, 2008, vol. 43, issue 3, 403-406

Abstract: 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.

Keywords: Comonotonicity; Convex; order; Frechet; upper; bound (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:43:y:2008:i:3:p:403-406

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