Multivariate comonotonicity

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 structure is needed than in the univariate case. AMS 2000 Subject Classification: Primary 60E05, Secondary 90B06.

• Type: Journal
• Year: 2010
• Where: MA
• Authors: Giovanni Puccetti, Marco Scarsini
• Keywords: AMS 2000 Subject, Communications, MA 2010, Univariate Case, Univariate Concept