Artikel
Sharp convex bounds on the aggregate sums: An alternative proof
It is well known that a random vector with given marginals is comonotonic if and only if it has the largest convex sum, and that a random vector with given marginals (under an additional condition) is mutually exclusive if and only if it has the minimal convex sum. This paper provides an alternative proof of these two results using the theories of distortion risk measure and expected utility.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Risks ; ISSN: 2227-9091 ; Volume: 4 ; Year: 2016 ; Issue: 4 ; Pages: 1-8 ; Basel: MDPI
- Klassifikation
-
Wirtschaft
- Thema
-
comonotonicity
convex order
distortion risk measure
mutual exclusivity
stop-loss order
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Yin, Chuancun
Zhu, Dan
- Ereignis
-
Veröffentlichung
- (wer)
-
MDPI
- (wo)
-
Basel
- (wann)
-
2016
- DOI
-
doi:10.3390/risks4040034
- Handle
- Letzte Aktualisierung
- 10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Yin, Chuancun
- Zhu, Dan
- MDPI
Entstanden
- 2016
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