Journal article
Characterizations of counter-monotonicity and upper comonotonicity by (tail) convex order
Insurance, mathematics & economics, Vol.53(2), pp.334-342
09/01/2013
DOI: 10.1016/j.insmatheco.2013.06.004
Abstract
In this paper, we characterize counter-monotonic and upper comonotonic random vectors by the optimality of the sum of their components in the senses of the convex order and tail convex order respectively. In the first part, we extend the characterization of comonotonicity by Cheung (2010) and show that the sum of two random variables is minimal with respect to the convex order if and only if they are counter-monotonic. Three simple and illuminating proofs are provided. In the second part, we investigate upper comonotonicity by means of the tail convex order. By establishing some useful properties of this relatively new stochastic order, we prove that an upper comonotonic random vector must give rise to the maximal tail convex sum, thereby completing the gap in Nam et al. (2011)'s characterization. The relationship between the tail convex order and risk measures along with conditions under which the additivity of risk measures is sufficient for upper comonotonicity is also explored. (C) 2013 Elsevier B.V. All rights reserved.
Details
- Title: Subtitle
- Characterizations of counter-monotonicity and upper comonotonicity by (tail) convex order
- Creators
- Ka Chun Cheung - University of Hong KongAmbrose Lo - University of Hong Kong
- Resource Type
- Journal article
- Publication Details
- Insurance, mathematics & economics, Vol.53(2), pp.334-342
- Publisher
- ELSEVIER SCIENCE BV
- DOI
- 10.1016/j.insmatheco.2013.06.004
- ISSN
- 0167-6687
- eISSN
- 1873-5959
- Number of pages
- 9
- Language
- English
- Date published
- 09/01/2013
- Academic Unit
- Statistics and Actuarial Science
- Record Identifier
- 9984257611602771
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