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- Comonotonicity abstract "In probability theory, comonotonicity mainly refers to the perfect positive dependence between the components of a random vector, essentially saying that they can be represented as increasing functions of a single random variable. In two dimensions it is also possible to consider perfect negative dependence, which is called countermonotonicity. Comonotonicity is also related to the comonotonic additivity of the Choquet integral.The concept of comonotonicity has applications in financial risk management and actuarial science, see e.g. Dhaene et al. (2002a) and Dhaene et al. (2002b). In particular, the sum of the components X1 + X2 + · · · + Xn is the riskiest if the joint probability distribution of the random vector (X1, X2, . . . , Xn) is comonotonic. Furthermore, the α-quantile of the sum equals of the sum of the α-quantiles of its components, hence comonotonic random variables are quantile-additive. In practical risk management terms it means that there is minimal (or eventually no) variance reduction from diversification.For extensions of comonotonicity, see Jouini & Napp (2004) and Puccetti & Scarsini (2010).".
- Comonotonicity wikiPageExternalLink books?id=f5J_OZPeq50C.
- Comonotonicity wikiPageExternalLink books?id=omxatN4lVCkC.
- Comonotonicity wikiPageExternalLink 71.pdf.
- Comonotonicity wikiPageExternalLink DEF180RR.pdf.
- Comonotonicity wikiPageExternalLink DDGKVapp.pdf.
- Comonotonicity wikiPageExternalLink DdgkvTh.pdf.
- Comonotonicity wikiPageExternalLink MED090320-Scarsini.pdf.
- Comonotonicity wikiPageID "21621572".
- Comonotonicity wikiPageLength "11781".
- Comonotonicity wikiPageOutDegree "28".
- Comonotonicity wikiPageRevisionID "675487900".
- Comonotonicity wikiPageWikiLink Actuarial_science.
- Comonotonicity wikiPageWikiLink Category:Covariance_and_correlation.
- Comonotonicity wikiPageWikiLink Category:Statistical_dependence.
- Comonotonicity wikiPageWikiLink Category:Theory_of_probability_distributions.
- Comonotonicity wikiPageWikiLink Chebyshevs_sum_inequality.
- Comonotonicity wikiPageWikiLink Choquet_integral.
- Comonotonicity wikiPageWikiLink Continuous_function.
- Comonotonicity wikiPageWikiLink Copula_(probability_theory).
- Comonotonicity wikiPageWikiLink Cumulative_distribution_function.
- Comonotonicity wikiPageWikiLink Euclidean_space.
- Comonotonicity wikiPageWikiLink Expected_value.
- Comonotonicity wikiPageWikiLink Financial_risk_management.
- Comonotonicity wikiPageWikiLink Hxc3xb6ffdings_formula_for_the_covariance.
- Comonotonicity wikiPageWikiLink Joint_probability_distribution.
- Comonotonicity wikiPageWikiLink Left-continuous.
- Comonotonicity wikiPageWikiLink Marginal_distribution.
- Comonotonicity wikiPageWikiLink Monotonic_function.
- Comonotonicity wikiPageWikiLink Multivariate_random_variable.
- Comonotonicity wikiPageWikiLink Probability_distribution.
- Comonotonicity wikiPageWikiLink Probability_measure.
- Comonotonicity wikiPageWikiLink Probability_theory.
- Comonotonicity wikiPageWikiLink Pushforward_measure.
- Comonotonicity wikiPageWikiLink Quantile.
- Comonotonicity wikiPageWikiLink Rearrangement_inequality.
- Comonotonicity wikiPageWikiLink Springer_Science+Business_Media.
- Comonotonicity wikiPageWikiLink Support_(measure_theory).
- Comonotonicity wikiPageWikiLink Total_order.
- Comonotonicity wikiPageWikiLink Totally_ordered_set.
- Comonotonicity wikiPageWikiLink Uniform_distribution_(continuous).
- Comonotonicity wikiPageWikiLink Unit_interval.
- Comonotonicity wikiPageWikiLinkText "Comonotonicity".
- Comonotonicity wikiPageWikiLinkText "comonotone random variables".
- Comonotonicity wikiPageWikiLinkText "comonotonic".
- Comonotonicity wikiPageWikiLinkText "perfect positive".
- Comonotonicity hasPhotoCollection Comonotonicity.
- Comonotonicity wikiPageUsesTemplate Template:Citation.
- Comonotonicity wikiPageUsesTemplate Template:Harvtxt.
- Comonotonicity wikiPageUsesTemplate Template:Main.
- Comonotonicity wikiPageUsesTemplate Template:Math.
- Comonotonicity wikiPageUsesTemplate Template:Reflist.
- Comonotonicity subject Category:Covariance_and_correlation.
- Comonotonicity subject Category:Statistical_dependence.
- Comonotonicity subject Category:Theory_of_probability_distributions.
- Comonotonicity comment "In probability theory, comonotonicity mainly refers to the perfect positive dependence between the components of a random vector, essentially saying that they can be represented as increasing functions of a single random variable. In two dimensions it is also possible to consider perfect negative dependence, which is called countermonotonicity.".
- Comonotonicity label "Comonotonicity".
- Comonotonicity sameAs m.05mr3_z.
- Comonotonicity sameAs Q5155190.
- Comonotonicity sameAs Q5155190.
- Comonotonicity wasDerivedFrom Comonotonicity?oldid=675487900.
- Comonotonicity isPrimaryTopicOf Comonotonicity.