Comonotonic Modification of Random Vector in Its Own Probability Space

7 Pages Posted: 31 Jan 2011

See all articles by Jan Dhaene

Jan Dhaene

Katholieke Universiteit Leuven

Alexander Kukush

Catholic University of Leuven (KUL)

Date Written: January 9, 2011

Abstract

For any random vector X = (X1; ...;Xn) on a given probability space (Ω;F;Pr), one can always instruct comonotonic modi…cations of X, which are de…ned as random vectors with the same marginals as X but with the comonotonic copula describing their dependency structure. In this short note, we investigate whether it is always possible or not to de…necomonotonic modi…cations of X on its own probability space (Ω;F; Pr).

Keywords: Comonotonic random vector, comonotonic modi…cation, non-atomic probability space

Suggested Citation

Dhaene, Jan and Kukush, Alexander, Comonotonic Modification of Random Vector in Its Own Probability Space (January 9, 2011). Available at SSRN: https://ssrn.com/abstract=1752064 or http://dx.doi.org/10.2139/ssrn.1752064

Jan Dhaene (Contact Author)

Katholieke Universiteit Leuven ( email )

Naamsestraat 69
Leuven, 3000
Belgium

Alexander Kukush

Catholic University of Leuven (KUL) ( email )

Leuven, B-3000
Belgium

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