| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5077313 | Insurance: Mathematics and Economics | 2008 | 4 Pages |
Abstract
It is well known that if a random vector with given marginal distributions is comonotonic, it has the largest sum with respect to the convex order. In this paper, we prove that the converse is also true, provided that each marginal distribution is continuous.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Ka Chun Cheung,