کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5076542 | 1374092 | 2013 | 9 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Characterizations of counter-monotonicity and upper comonotonicity by (tail) convex order
ترجمه فارسی عنوان
خصوصیات ضد انحصاری و کمونوتونیک بالایی توسط ترتیب محدب (دم)
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 53, Issue 2, September 2013, Pages 334-342
Journal: Insurance: Mathematics and Economics - Volume 53, Issue 2, September 2013, Pages 334-342
نویسندگان
Ka Chun Cheung, Ambrose Lo,