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Journal Articles Journal of Multivariate Analysis Year : 2010

Multivariate comonotonicity

Abstract

In this paper we consider several multivariate extensions of comonotonicity. We show that naive extensions do not enjoy some of the main properties of the univariate concept. In order to have these properties, more structures are needed than in the univariate case.

Dates and versions

hal-00528400 , version 1 (21-10-2010)

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Marco Scarsini, Giovanni Puccetti. Multivariate comonotonicity. Journal of Multivariate Analysis, 2010, 101 (1), pp.291-304. ⟨10.1016/j.jmva.2009.08.003⟩. ⟨hal-00528400⟩

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