A simple geometric proof that comonotonic risks have the convex-largest sum
نویسندگان
چکیده
In the recent actuarial literature, several proofs have been given for the fact that if a random vector (X1,X2, . . . ,Xn) with given marginals has a comonotonic joint distribution, the sum X1 +X2 + · · · +Xn is the largest possible in convex order. In this note we give a lucid proof of this fact, based on a geometric interpretation of the support of the comonotonic distribution.
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