Journal article
Characterizing mutual exclusivity as the strongest negative multivariate dependence structure
Insurance, mathematics & economics, Vol.55(1), pp.180-190
03/2014
DOI: 10.1016/j.insmatheco.2014.01.001
Abstract
Mutual exclusivity is an extreme negative dependence structure that was first proposed and studied in Dhaene and Denuit (1999) in the context of insurance risks. In this article, we revisit this notion and present versatile characterizations of mutually exclusive random vectors via their pairwise counter-monotonic behaviour, minimal convex sum property, distributional representation and the characteristic function of the sum of their components. These characterizations highlight the role of mutual exclusivity in generalizing counter-monotonicity as the strongest negative dependence structure in a multi-dimensional setting.
•A random vector is mutually exclusive iff it is pairwise counter-monotonic.•The minimal convex sum property characterizes mutual exclusivity.•The distributional representation of a mutually exclusive random vector is found.•The determination of the copula of mutual exclusivity is explained.•The characteristic function of the mutually exclusive sum is explicitly determined.
Details
- Title: Subtitle
- Characterizing mutual exclusivity as the strongest negative multivariate dependence structure
- Creators
- Ka Chun CheungAmbrose Lo
- Resource Type
- Journal article
- Publication Details
- Insurance, mathematics & economics, Vol.55(1), pp.180-190
- DOI
- 10.1016/j.insmatheco.2014.01.001
- ISSN
- 0167-6687
- eISSN
- 1873-5959
- Publisher
- Elsevier B.V
- Language
- English
- Date published
- 03/2014
- Academic Unit
- Statistics and Actuarial Science
- Record Identifier
- 9984083815302771
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