英文标题：
《Sharp convex bounds on the aggregate sums--An alternative proof》
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作者：
Chuancun Yin, Dan Zhu
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最新提交年份：
2016
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英文摘要：
  It is well known that a random vector with given marginal distributions is comonotonic if and only if it has the largest sum with respect to the convex order [ Kaas, Dhaene, Vyncke, Goovaerts, Denuit (2002), A simple geometric proof that comonotonic risks have the convex-largest sum, ASTIN Bulletin 32, 71-80. Cheung (2010), Characterizing a comonotonic random vector by the distribution of the sum of its components, Insurance: Mathematics and Economics 47(2), 130-136] and that a random vector with given marginal distributions is mutually exclusive if and only if it has the minimal convex sum [Cheung and Lo (2014), Characterizing mutual exclusivity as the strongest negative multivariate dependence structure, Insurance: Mathematics and Economics 55, 180-190]. In this note, we give a new proof of this two results using the theories of distortion risk measure and expected utility.
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中文摘要：
众所周知，具有给定边际分布的随机向量是共单调的当且仅当其关于凸阶具有最大和[Kaas，Dhaene，Vyncke，Goovaerts，Denuit（2002），一个证明共单调风险具有凸最大和的简单几何证明，ASTIN Bulletin 32，71-80.Cheung（2010），《保险：数学与经济学》第47（2）卷，通过其分量之和的分布来表征共单调随机向量，130-136]且具有给定边际分布的随机向量是互斥的当且仅当其具有最小凸和[Cheung and Lo（2014），将互斥性描述为最强的负多元依赖结构，保险：数学与经济学55180-190]。在本文中，我们利用失真风险测度和期望效用理论对这两个结果给出了一个新的证明。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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