Title: A simple proof that comonotonic risks have the convex-largest sum
Authors: Kaas, Robert
Dhaene, Jan
Vyncke, David
Goovaerts, Marc
Denuit, M
Issue Date: 2001
Publisher: K.U.Leuven - Departement Toegepaste Economische Wetenschappen
Series Title: DTEW Research Report 0119 pages:1-12
Abstract: In the recent actuarial literature, several proofs have been given for the fact that if a random vector X(1), X(2), …, X(n) with given marginals has a comonotonic joint distribution, the sum X(1) + X(2) + … + X(n) 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.
Publication status: published
KU Leuven publication type: IR
Appears in Collections:Research Center Insurance, Leuven

Files in This Item:
File Status SizeFormat
OR_0119.pdf Published 339KbAdobe PDFView/Open


All items in Lirias are protected by copyright, with all rights reserved.