Characterization of upper comonotonicity via tail convex order |
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Authors: | Hee Seok Nam Qihe Tang |
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Affiliation: | a Department of Statistics and Actuarial Science, University of Iowa, 241 Schaeffer Hall, Iowa City, IA 52242, USAb Applied Mathematical and Computational Sciences, University of Iowa, Iowa City, IA 52242, USA |
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Abstract: | In this paper, we show a characterization of upper comonotonicity via tail convex order. For any given marginal distributions, a maximal random vector with respect to tail convex order is proved to be upper comonotonic under suitable conditions. As an application, we consider the computation of the Haezendonck risk measure of the sum of upper comonotonic random variables with exponential marginal distributions. |
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Keywords: | D81 G32 |
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