Measuring Comonotonicity in M-Dimensional Vectors

Publisher: Cambridge University Press

E-ISSN: 1783-1350|41|1|191-213

ISSN: 0515-0361

Source: ASTIN Bulletin, Vol.41, Iss.1, 2011-05, pp. : 191-213

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

In this contribution, a new measure of comonotonicity for m-dimensional vectors is introduced, with values between zero, representing the independent situation, and one, reflecting a completely comonotonic situation. The main characteristics of this coefficient are examined, and the relations with common dependence measures are analysed. A sample-based version of the comonotonicity coefficient is also derived. Special attention is paid to the explanation of the accuracy of the convex order bound method of Goovaerts, Dhaene et al. in the case of cash flows with Gaussian discounting processes.