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
Date Written: March 17, 2009
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
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