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Covariance and correlation / Convex analysis / Algebra of random variables / Comonotonicity / Statistical dependence / Expected value / Convex function / Random variable / Multivariate random variable / Mathematical analysis / Statistics / Probability theory


A SIMPLE GEOMETRIC PROOF THAT COMONOTONIC RISKS HAVE THE CONVEX-LARGEST SUM
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Document Date: 2012-04-11 21:48:52

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City

Amsterdam / Berlin / Lyon / /

Company

VAN HEERWAARDENA.E. / VANHEERWAARDENA.E. / /

Country

Belgium / Netherlands / /

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Facility

Insurance Studies Catholic University of Leuven Naamsestraat / University of Amsterdam / Dept KE University of Amsterdam Roetersstraat / /

IndustryTerm

actuarial finance involving sums / financial actuarial applications / /

Organization

MARC J. GOOVAERTS Center / Risk and Insurance Studies Catholic University of Leuven Naamsestraat / Institute for Actuarial Science and Econometrics / Swiss Association of Actuaries / Center for Risk / American Mathematical Society / Dept KE University of Amsterdam Roetersstraat / University of Amsterdam / ROB KAAS Faculty of Economics and Econometrics / MICHEL DENUIT Institut de Statistique Universitk Catholique de Louvain Voie / /

Person

David Promislov / Jan Dhaene / ROB KAAS / Marc Goovaerts / Roman Pays / Jenny Young / MICHEL DENUIT / David Vyncke / /

PublishedMedium

Proceedings of the American Mathematical Society / The Economic Journal / /

SocialTag