An Overview of Comonotonicity and Its Applications in Finance and Insurance

Griselda Deelstra (), Jan Dhaene and Michèle Vanmaele ()
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Griselda Deelstra: Université Libre de Bruxelles, Department of Mathematics, ECARES
Michèle Vanmaele: Ghent University, Department of Applied Mathematics and Computer Science

Chapter Chapter 6 in Advanced Mathematical Methods for Finance, 2011, pp 155-179 from Springer

Abstract: Abstract Over the last decade, it has been shown that the concept of comonotonicity is a helpful tool for solving several research and practical problems in the domain of finance and insurance. In this chapter, we give an extensive bibliographic overview—without claiming to be complete—of the developments of the theory of comonotonicity and its applications, with an emphasis on the achievements in the period 2004–2010. These applications range from pricing and hedging of derivatives over risk management to life insurance.

Keywords: Comonotonicity; Convex order; Risk measurement; Derivatives pricing and hedging; Life insurance; 60E15; 60J65; 91B70; 91B30 (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-642-18412-3_6

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DOI: 10.1007/978-3-642-18412-3_6

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