Sharp Convex Bounds on the Aggregate Sums–An Alternative Proof

Chuancun Yin and Dan Zhu
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Chuancun Yin: School of Statistics, Qufu Normal University, Qufu 273165, Shandong, China
Dan Zhu: School of Statistics, Qufu Normal University, Qufu 273165, Shandong, China

Risks, 2016, vol. 4, issue 4, 1-8

Abstract: It is well known that a random vector with given marginals is comonotonic if and only if it has the largest convex sum, and that a random vector with given marginals (under an additional condition) is mutually exclusive if and only if it has the minimal convex sum. This paper provides an alternative proof of these two results using the theories of distortion risk measure and expected utility.

Keywords: comonotonicity; convex order; distortion risk measure; mutual exclusivity; stop-loss order (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2016
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