Multivariate comonotonicity

Marco Scarsini (1) , Giovanni Puccetti (2)

1 GREGH - Groupement de Recherche et d'Etudes en Gestion à HEC
2 Department of Mathematics for Decisions

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.

Mots clés: Cyclical monotonicity; Rearrangements; Optimal coupling; Copula; Supermodular function.; Supermodular function

Domaines: Economie et sciences de la décision

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⟩