A SIMPLE EXTENSION OF COMONOTONICITY:FROM INDEPENDENCE TO COMONOTONICITY
ZHANG Lianzeng1 , DUAN Baige2
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1. Department of Risk Management and Insurance, School of Economics, Nankai University, Tianjin 300071; 2. Department of Risk Management and Insurance, School of Economics, Fudan University, Shanghai 200433
Comonotonicity has become popular in actuarial science and finance.The notion of upper comonotonicity has recently been proposed. Using distributional
representation we provide a unified method to extend the notion of comonotonic-ity further to lower comonotonicity, lower and upper comonotonicity, and interval comonotonicity. Numerical illustrations are provided to make a comparison among the six types of dependence structure: Independence, upper comonotonicity, lower comonotonicity, lower and upper comonotonicity, interval comonotonicity, comono- tonicity. The numerical results are related to the sum of uniform (0, 1) random vari- ables, for which we obtain the explicit formula for the density function of the sum of two random variables in every case. For higher dimension, it becomes complicated to find the correspondinexplicit formulas.
ZHANG Lianzeng , DUAN Baige.
A SIMPLE EXTENSION OF COMONOTONICITY:FROM INDEPENDENCE TO COMONOTONICITY. Journal of Systems Science and Mathematical Sciences, 2013, 33(8): 949-961 https://doi.org/10.12341/jssms12160