Comonotonicity

ENCYCLOPEDIA OF QUANTITATIVE RISK ASSESSMENT AND ANALYSIS, Melnick, E., Everitt, B., eds., pp. 274-279, John Wiley & Sons Ltd, Chichester, UK

13 Pages Posted: 14 May 2009  

Jan Dhaene

Katholieke Universiteit Leuven - Faculty of Economics and Business

Steven Vanduffel

Vrije Universiteit Brussel (VUB)

M. J. Goovaerts

affiliation not provided to SSRN

Date Written: March 17, 2009

Abstract

This is a condensed overview paper on the concept of comonotonicity and some of its applications in finance and insurance.

Keywords: comontonicity, dependence, copula, correlation, sums of random variables

Suggested Citation

Dhaene, Jan and Vanduffel, Steven and Goovaerts, M. J., Comonotonicity (March 17, 2009). ENCYCLOPEDIA OF QUANTITATIVE RISK ASSESSMENT AND ANALYSIS, Melnick, E., Everitt, B., eds., pp. 274-279, John Wiley & Sons Ltd, Chichester, UK. Available at SSRN: https://ssrn.com/abstract=1362016

Jan Dhaene (Contact Author)

Katholieke Universiteit Leuven - Faculty of Economics and Business ( email )

Naamsestraat 69
Leuven, 3000
Belgium

Steven Vanduffel

Vrije Universiteit Brussel (VUB) ( email )

Pleinlaan 2
Brussels, Brabant 1050
Belgium

HOME PAGE: http://www.stevenvanduffel.com

M. J. Goovaerts

affiliation not provided to SSRN

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