2 search results - page 1 / 1 » Multivariate comonotonicity |
MA
2010
Springer
13 years 3 months ago
2010
Springer
In this paper we consider several multivariate extensions of comonotonicity. We show that naive extensions do not enjoy some of the main properties of the univariate concept. In o...
EUSFLAT
2007
13 years 6 months ago
2007
We introduce a simple aggregate claims model, which is able to take into account a continuous range of positive dependence between independence and comonotone dependence. It is ba...