Sharp Convex Bounds on the Aggregate Sums–An Alternative Proof
Copyright policy )Sharp Convex Bounds on the Aggregate Sums–An Alternative Proof
It is well known that a random vector with given marginals is comonotonic if and only if it has the largest convex sum, and that a random vector with given marginals (under an additional condition) is mutually exclusive if and only if it has the minimal convex sum. This paper provides an alternative proof of these two results using the theories of distortion risk measure and expected utility.
- Qufu Normal University China (People's Republic of)
- Qufu Normal University China (People's Republic of)
- Qufu Normal University China (People's Republic of)
comonotonicity; convex order; distortion risk measure; mutual exclusivity; stop-loss order, ddc:330, convex order, comonotonicity, FOS: Economics and business, Insurance, distortion risk measure, Risk Management (q-fin.RM), mutual exclusivity, HG8011-9999, stop-loss order, Quantitative Finance - Risk Management
comonotonicity; convex order; distortion risk measure; mutual exclusivity; stop-loss order, ddc:330, convex order, comonotonicity, FOS: Economics and business, Insurance, distortion risk measure, Risk Management (q-fin.RM), mutual exclusivity, HG8011-9999, stop-loss order, Quantitative Finance - Risk Management
selected citations These citations are derived from selected sources.This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).0 popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.Average influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).Average impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.Average
Citations provided by BIP!Popularity provided by BIP!