Title
Measuring comonotonicity in M-dimensional vectors Measuring comonotonicity in M-dimensional vectors
Author
Faculty/Department
Faculty of Applied Economics
Publication type
article
Publication
Clevedon ,
Subject
Economics
Mathematics
Source (journal)
ASTIN bulletin. - Clevedon, 1958, currens
Volume/pages
41(2011) :1 , p. 191-213
ISSN
0515-0361
1783-1350
ISI
000291120000008
Carrier
E
Target language
English (eng)
Full text (Publishers DOI)
Affiliation
University of Antwerp
Abstract
In this contribution, a new measure of comonotonicity for m-dimensional vectors is introduced, with values between zero, representing the independent situation, and one, reflecting a completely comonotonic situation. The main characteristics of this coefficient are examined, and the relations with common dependence measures are analysed. A sample-based version of the comonotonicity coefficient is also derived. Special attention is paid to the explanation of the accuracy of the convex order bound method of Goovaerts, Dhaene et al. in the case of cash flows with Gaussian discounting processes.
E-info
https://repository.uantwerpen.be/docman/iruaauth/d483c9/a208cd70d7e.pdf
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