Upper comonotonicity

Insurance: Mathematics and Economics

Volumn 45, Issue 1, 2009, Pages 35-40

  Cheung, Ka Chun ^a  

^a UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Comonotonicity; Copula; Risk measure; Tail dependence; Upper comonotonicity

Indexed keywords

EID: 67650093480     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2009.03.003     Document Type: Article

References (7)

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3. Dhaene J., Denuit M., Goovaerts M.J., Kaas R., and Vyncke D. The concept of comonotonicity in actuarial science and finance: Applications. Insurance: Mathematics and Economics 31 (2002) 133-161
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5. Genest C., and Nešlehová J. A primer on copulas for count data. ASTIN Bulletin 37 (2007) 475-515
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