Characterization of comonotonicity using convex order |
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| Authors: | Ka Chun Cheung |
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| Affiliation: | Department of Statistics and Actuarial Science, The University of Hong Kong, Pokfulam Road, Hong Kong |
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| 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. |
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| Keywords: | Comonotonicity Convex order Fré chet upper bound |
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