Comonotonic convex upper bound and majorization

Ka Chun Cheung

Insurance: Mathematics and Economics, 2010, vol. 47, issue 2, 154-158

Abstract: When the dependence structure among several risks is unknown, it is common in the actuarial literature to study the worst dependence structure that gives rise to the riskiest aggregate loss. A central result is that the aggregate loss is the riskiest with respect to convex order when the underlying risks are comonotonic. Many proofs were given before. The objective of this article is to present a new proof using the notions of decreasing rearrangement and the majorization theorem, and give clear explanation of the relation between convex order, the theory of majorization and comonotonicity.

Keywords: Convex; order; Comonotonicity; Decreasing; rearrangement; Majorization (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (2)

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