Authors
Ka Chun Cheung
Publication date
2008/12/1
Journal
Insurance: Mathematics and Economics
Volume
43
Issue
3
Pages
403-406
Publisher
North-Holland
Description
It is well known that if a random vector with given marginal distributions is comonotonic, it has the largest sum with respect to the convex order. In this paper, we prove that the converse is also true, provided that each marginal distribution is continuous.
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