Multivariate comonotonicity

Authors:
Giovanni Puccetti;Marco Scarsini
Affiliations:
Department of Mathematics for Decisions, University of Firenze, I-50134 Firenze, Italy;Dipartimento di Scienze Economiche e Aziendali, LUISS, Viale Romania 32, I-00197 Roma, Italy and HEC, Paris, France
Venue:
Journal of Multivariate Analysis
Year:
2010

Citing 5
Cited 1

Copulae of probability measures on product spaces

Journal of Multivariate Analysis
A characterization of random variables with minimum L2-distance

Journal of Multivariate Analysis
Optimal coupling of multivariate distributions and stochastic processes

Journal of Multivariate Analysis
Bounds for functions of multivariate risks

Journal of Multivariate Analysis
An Introduction to Copulas (Springer Series in Statistics)

An Introduction to Copulas (Springer Series in Statistics)

A quantile approach to integration with respect to non-additive measures

MDAI'12 Proceedings of the 9th international conference on Modeling Decisions for Artificial Intelligence

Quantified Score

Hi-index	0.00

Visualization

Abstract

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 order to have these properties, more structures are needed than in the univariate case.