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.
Titolo: | Multivariate comonotonicity |
Autori: | |
Data di pubblicazione: | 2010 |
Rivista: | |
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. |
Handle: | http://hdl.handle.net/11385/3163 |
Appare nelle tipologie: | 01.1 - Articolo su rivista (Article) |
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