منابع مشابه
Characterizations of Conditional Comonotonicity
The notion of conditional comonotonicity was first used implicitly by Kaas, Dhaene, and Goovaerts (2000) and was formally introduced by Jouini and Napp (2004) as a generalization of the classical concept of comonotonicity. The objective of the present paper is to further investigate this relatively new concept. The main result is that a random vector is comonotonic conditional to a certain σ -f...
متن کاملMultivariate comonotonicity
In this paper we consider several multivariate extensions of comonotonicity. We show that naive extensions do not enjoy some of the main properties of the univariate concept. In order to have these properties more structure is needed than in the univariate case. AMS 2000 Subject Classification: Primary 60E05, Secondary 90B06.
متن کاملSome useful counterexamples regarding comonotonicity
This article gives counterexamples for some conjectures about risk orders. One is that in risky situations, diversification is always beneficial. A counterexample is provided by the Cauchy distribution, for which the sample means have the same distribution as the sample elements, meaning that insuring half the sum of two iid risks of this type is precisely equivalent to insuring one of them ful...
متن کاملCapital requirements, risk measures and comonotonicity
In this paper we examine and summarize properties of several well-known risk measures, with special attention given to the class of distortion risk measures. We investigate the relationship between these risk measures and theories of choice under risk. We also consider the problem of evaluating risk measures for sums of nonindependent random variables and propose approximations based on the con...
متن کاملOn Comonotonicity of Pareto Optimal Risk Sharing
We prove comonotonicity of Pareto-optimal risk allocations using risk measures consistent with the stochastic convex order. This extends result of Landsberger and Meilijson (1994) to risks X ∈ L and general probability spaces.
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ژورنال
عنوان ژورنال: Decisions in Economics and Finance
سال: 2004
ISSN: 1593-8883,1129-6569
DOI: 10.1007/s10203-004-0049-y