A new proof of Cheung's characterization of comonotonicity

Tiantian Mao and Taizhong Hu

Insurance: Mathematics and Economics, 2011, vol. 48, issue 2, 214-216

Abstract: It is well known that if a random vector with given marginal distributions is comonotonic, it has the largest sum in the sense of the convex order. Cheung (2008) proved that the converse of this assertion is also true, provided that all marginal distribution functions are continuous and that the underlying probability space is atomless. This continuity assumption on the marginals was removed by Cheung (2010). In this short note, we give a new and simple proof of Cheung's result without the assumption that the underlying probability space is atomless.

Keywords: Comonotonicity; The; convex; order; [alpha]-mixed; inverse; function (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (4)

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