文章基本信息

标题：Sharp Convex Bounds on the Aggregate Sums–An Alternative Proof
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作者：Yin, Chuancun ; Zhu, Dan
期刊名称：Risks
印刷版ISSN：2227-9091
出版年度：2016
卷号：4
期号：4
出版社：MDPI, Open Access Journal
摘要：It is well known that a random vector with given marginals is comonotonic if and only if it has the largest convex sum, and that a random vector with given marginals (under an additional condition) is mutually exclusive if and only if it has the minimal convex sum. This paper provides an alternative proof of these two results using the theories of distortion risk measure and expected utility.
关键词：comonotonicity; convex order; distortion risk measure; mutual exclusivity; stop-loss order