Characterization of upper comonotonicity via tail convex order

Hee Seok Nam, Qihe Tang and Fan Yang

Insurance: Mathematics and Economics, 2011, vol. 48, issue 3, 368-373

Abstract: 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.

Keywords: IM30; IE43; Comonotonicity; Upper; comonotonicity; Tail; convex; order; Haezendonck; risk; measures (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (16)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:48:y:2011:i:3:p:368-373

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