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On multivariate countermonotonic copulas and their actuarial application
- Title
- On multivariate countermonotonic copulas and their actuarial application
- Authors
- Ko B.; Ahn J.Y.
- Ewha Authors
- 안재윤
- SCOPUS Author ID
- 안재윤
- Issue Date
- 2016
- Journal Title
- Lobachevskii Journal of Mathematics
- ISSN
- 1995-0802
- Citation
- Lobachevskii Journal of Mathematics vol. 37, no. 4, pp. 387 - 396
- Keywords
- Countermonotonicity; Minimal Copula; Variance Minimization
- Publisher
- Maik Nauka-Interperiodica Publishing
- Indexed
- SCOPUS
- Document Type
- Article
- Abstract
- Extreme positive dependence, also known as comonotonicity or the Fréchet upper bound, has been an important concept in insurance since it describes the most dangerous financial behaviors. However, there is no generally agreed upon definition for extreme negative dependence because the corresponding Fréchet lower bound does not exist. To resolve this, a set of copulas under the name of d-Countermonotonicity (d-CTM) has been proposed to define extreme negative dependence rather than a single copula. The set of d-CTM copulas can be quite useful in various optimization problems. In this paper, we investigate various properties of d-CTM with more emphasis on the practical issues of actual optimization problems. As an application to insurance, we explore the effect of risk pooling under extreme dependence by adopting the so-called measure of uncertainty. © 2016, Pleiades Publishing, Ltd.
- DOI
- 10.1134/S199508021604003X
- Appears in Collections:
- 자연과학대학 > 통계학전공 > Journal papers
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