Improved convex upper bound via conditional comonotonicity |
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Authors: | Ka Chun Cheung |
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Institution: | Department of Mathematics and Statistics, University of Calgary, Calgary, Alberta, Canada |
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Abstract: | Comonotonicity provides a convenient convex upper bound for a sum of random variables with arbitrary dependence structure. Improved convex upper bound was introduced via conditioning by Kaas et al. Kaas, R., Dhaene, J., Goovaerts, M., 2000. Upper and lower bounds for sums of random variables. Insurance: Math. Econ. 27, 151-168]. In this paper, we unify these results in a more general context using the concept of conditional comonotonicity. We also construct an approximating sequence of convex upper bounds with nice convergence properties. |
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Keywords: | Comonotonicity Conditional comonotonicity Convex order Regular conditional distribution |
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