Characterizations of counter-monotonicity and upper comonotonicity by (tail) convex order

Ka Chun Cheung; Ambrose Lo

doi:10.1016/j.insmatheco.2013.06.004

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Characterizations of counter-monotonicity and upper comonotonicity by (tail) convex order

Ka Chun Cheung Ambrose Lo

Year: 2013 Journal: Insurance Mathematics and Economics Vol: 53 (2)Pages: 334-342 Publisher: Elsevier BV

DOI: 10.1016/j.insmatheco.2013.06.004

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Keywords:

Monotonic function Regular polygon Mathematics Order (exchange) Stochastic ordering Combinatorics Mathematical proof Upper and lower bounds Convex combination Additive function Characterization (materials science) Discrete mathematics Convex optimization Applied mathematics Mathematical analysis Economics Finance Physics Geometry

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Risk and Portfolio Optimization

Social Sciences → Decision Sciences → Management Science and Operations Research

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Multi-Criteria Decision Making

Social Sciences → Decision Sciences → Management Science and Operations Research

Characterizations of counter-monotonicity and upper comonotonicity by (tail) convex order

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