Hanbali, Hamza; Linders, Daniël Monotone tail functions: definitions, properties, and application to risk-reducing strategies. (English) Zbl 07567550 J. Comput. Appl. Math. 416, Article ID 114484, 20 p. (2022). MSC: 91Bxx 91Gxx 62Pxx PDF BibTeX XML Cite \textit{H. Hanbali} and \textit{D. Linders}, J. Comput. Appl. Math. 416, Article ID 114484, 20 p. (2022; Zbl 07567550) Full Text: DOI OpenURL
Deng, Yong; Hu, Yijun Multivariate quasiconvex risk statistics with scenario analysis. (Chinese. English summary) Zbl 07554554 Chin. J. Appl. Probab. Stat. 38, No. 1, 71-85 (2022). MSC: 91B05 91B32 91B70 PDF BibTeX XML Cite \textit{Y. Deng} and \textit{Y. Hu}, Chin. J. Appl. Probab. Stat. 38, No. 1, 71--85 (2022; Zbl 07554554) Full Text: Link OpenURL
Montes, Ignacio Comonotone lower probabilities with robust marginal distributions functions. (English) Zbl 1487.60004 Rev. R. Acad. Cienc. Exactas Fís. Nat., Ser. A Mat., RACSAM 116, No. 3, Paper No. 130, 29 p. (2022). MSC: 60A05 60E15 62E17 62E15 62H05 PDF BibTeX XML Cite \textit{I. Montes}, Rev. R. Acad. Cienc. Exactas Fís. Nat., Ser. A Mat., RACSAM 116, No. 3, Paper No. 130, 29 p. (2022; Zbl 1487.60004) Full Text: DOI OpenURL
Lai, Wan-Ni; Chen, Yi-Ting; Sun, Edward W. Comonotonicity and low volatility effect. (English) Zbl 1477.62298 Ann. Oper. Res. 299, No. 1-2, 1057-1099 (2021). MSC: 62P05 62G30 62H25 91G70 PDF BibTeX XML Cite \textit{W.-N. Lai} et al., Ann. Oper. Res. 299, No. 1--2, 1057--1099 (2021; Zbl 1477.62298) Full Text: DOI OpenURL
Denuit, Michel; Robert, Christian Y. Stop-loss protection for a large P2P insurance pool. (English) Zbl 1471.91455 Insur. Math. Econ. 100, 210-233 (2021). MSC: 91G05 PDF BibTeX XML Cite \textit{M. Denuit} and \textit{C. Y. Robert}, Insur. Math. Econ. 100, 210--233 (2021; Zbl 1471.91455) Full Text: DOI OpenURL
Fuchs, Sebastian; Di Lascio, F. Marta L.; Durante, Fabrizio Dissimilarity functions for rank-invariant hierarchical clustering of continuous variables. (English) Zbl 07345459 Comput. Stat. Data Anal. 159, Article ID 107201, 26 p. (2021). MSC: 62-XX PDF BibTeX XML Cite \textit{S. Fuchs} et al., Comput. Stat. Data Anal. 159, Article ID 107201, 26 p. (2021; Zbl 07345459) Full Text: DOI arXiv OpenURL
Bahl, Raj Kumari; Sabanis, Sotirios Model-independent price bounds for catastrophic mortality bonds. (English) Zbl 1460.91209 Insur. Math. Econ. 96, 276-291 (2021). MSC: 91G05 91G20 60G44 PDF BibTeX XML Cite \textit{R. K. Bahl} and \textit{S. Sabanis}, Insur. Math. Econ. 96, 276--291 (2021; Zbl 1460.91209) Full Text: DOI arXiv OpenURL
Denuit, Michel Investing in your own and peers’ risks: the simple analytics of P2P insurance. (English) Zbl 1455.91218 Eur. Actuar. J. 10, No. 2, 335-359 (2020). MSC: 91G05 PDF BibTeX XML Cite \textit{M. Denuit}, Eur. Actuar. J. 10, No. 2, 335--359 (2020; Zbl 1455.91218) Full Text: DOI Link OpenURL
Wang, Ruodu; Wei, Yunran; Willmot, Gordon E. Characterization, robustness, and aggregation of signed Choquet integrals. (English) Zbl 1455.91072 Math. Oper. Res. 45, No. 3, 993-1015 (2020). MSC: 91B05 62G35 91G10 PDF BibTeX XML Cite \textit{R. Wang} et al., Math. Oper. Res. 45, No. 3, 993--1015 (2020; Zbl 1455.91072) Full Text: DOI OpenURL
Wang, Qiuqi; Wang, Ruodu; Wei, Yunran Distortion riskmetrics on general spaces. (English) Zbl 1454.91208 ASTIN Bull. 50, No. 3, 827-851 (2020). MSC: 91G05 91G70 PDF BibTeX XML Cite \textit{Q. Wang} et al., ASTIN Bull. 50, No. 3, 827--851 (2020; Zbl 1454.91208) Full Text: DOI OpenURL
Montes, Ignacio; Salamanca, Juan Jesús; Montes, Susana A modified version of stochastic dominance involving dependence. (English) Zbl 1450.60014 Stat. Probab. Lett. 165, Article ID 108848, 11 p. (2020). MSC: 60E15 62H05 PDF BibTeX XML Cite \textit{I. Montes} et al., Stat. Probab. Lett. 165, Article ID 108848, 11 p. (2020; Zbl 1450.60014) Full Text: DOI OpenURL
Wang, Ruodu; Zitikis, Ričardas Weak comonotonicity. (English) Zbl 1431.91446 Eur. J. Oper. Res. 282, No. 1, 386-397 (2020). MSC: 91G70 PDF BibTeX XML Cite \textit{R. Wang} and \textit{R. Zitikis}, Eur. J. Oper. Res. 282, No. 1, 386--397 (2020; Zbl 1431.91446) Full Text: DOI arXiv OpenURL
Dhaene, Jan; Kukush, Alexander; Linders, Daniël Comonotonic asset prices in arbitrage-free markets. (English) Zbl 1430.91108 J. Comput. Appl. Math. 364, Article ID 112310, 13 p. (2020). Reviewer: Vassil Grozdanov (Blagoevgrad) MSC: 91G20 91G15 PDF BibTeX XML Cite \textit{J. Dhaene} et al., J. Comput. Appl. Math. 364, Article ID 112310, 13 p. (2020; Zbl 1430.91108) Full Text: DOI Link OpenURL
Liu, Wei; Wei, Linxiao; Hu, Yijun Multivariate convex risk statistics with scenario analysis. (English) Zbl 07529875 Commun. Stat., Theory Methods 48, No. 22, 5585-5601 (2019). MSC: 91B30 91B32 91B70 62-XX PDF BibTeX XML Cite \textit{W. Liu} et al., Commun. Stat., Theory Methods 48, No. 22, 5585--5601 (2019; Zbl 07529875) Full Text: DOI OpenURL
Cheung, Ka Chun; Ling, Hok Kan; Tang, Qihe; Yam, Sheung Chi Phillip; Yuen, Fei Lung On additivity of tail comonotonic risks. (English) Zbl 1426.91210 Scand. Actuar. J. 2019, No. 10, 837-866 (2019). MSC: 91G05 62P05 62G32 PDF BibTeX XML Cite \textit{K. C. Cheung} et al., Scand. Actuar. J. 2019, No. 10, 837--866 (2019; Zbl 1426.91210) Full Text: DOI OpenURL
Hanbali, Hamza; Linders, Daniel American-type basket option pricing: a simple two-dimensional partial differential equation. (English) Zbl 1422.91764 Quant. Finance 19, No. 10, 1689-1704 (2019). MSC: 91G60 91G20 60G40 35Q91 65C05 PDF BibTeX XML Cite \textit{H. Hanbali} and \textit{D. Linders}, Quant. Finance 19, No. 10, 1689--1704 (2019; Zbl 1422.91764) Full Text: DOI OpenURL
Asano, Takao; Kojima, Hiroyuki Consequentialism and dynamic consistency in updating ambiguous beliefs. (English) Zbl 1422.91243 Econ. Theory 68, No. 1, 223-250 (2019). MSC: 91B16 91B06 PDF BibTeX XML Cite \textit{T. Asano} and \textit{H. Kojima}, Econ. Theory 68, No. 1, 223--250 (2019; Zbl 1422.91243) Full Text: DOI Link OpenURL
Anastassiou, George A. Multivariate and convex approximation by Choquet integrals. (English) Zbl 1416.41011 Rev. R. Acad. Cienc. Exactas Fís. Nat., Ser. A Mat., RACSAM 113, No. 2, 1379-1415 (2019). MSC: 41A17 41A25 41A35 41A36 41A46 41A63 PDF BibTeX XML Cite \textit{G. A. Anastassiou}, Rev. R. Acad. Cienc. Exactas Fís. Nat., Ser. A Mat., RACSAM 113, No. 2, 1379--1415 (2019; Zbl 1416.41011) Full Text: DOI OpenURL
Côté, Marie-Pier; Genest, Christian Dependence in a background risk model. (English) Zbl 1419.62295 J. Multivariate Anal. 172, 28-46 (2019). MSC: 62P05 62H05 62H20 91B30 60E05 PDF BibTeX XML Cite \textit{M.-P. Côté} and \textit{C. Genest}, J. Multivariate Anal. 172, 28--46 (2019; Zbl 1419.62295) Full Text: DOI OpenURL
Hernández-Hernández, Daniel; Madrid-Padilla, Oscar Hernan Worst portfolios for dynamic monetary utility processes. (English) Zbl 07550677 Stochastics 90, No. 1, 78-101 (2018). MSC: 91G10 91G70 PDF BibTeX XML Cite \textit{D. Hernández-Hernández} and \textit{O. H. Madrid-Padilla}, Stochastics 90, No. 1, 78--101 (2018; Zbl 07550677) Full Text: DOI OpenURL
Gushchin, A. A. The joint law of terminal values of a nonnegative submartingale and its compensator. (English. Russian original) Zbl 1434.60125 Theory Probab. Appl. 62, No. 2, 216-235 (2018); translation from Teor. Veroyatn. Primen. 62, No. 2, 267-291 (2017). MSC: 60G44 60G48 60G70 60E15 PDF BibTeX XML Cite \textit{A. A. Gushchin}, Theory Probab. Appl. 62, No. 2, 216--235 (2018; Zbl 1434.60125); translation from Teor. Veroyatn. Primen. 62, No. 2, 267--291 (2017) Full Text: DOI OpenURL
Cerreia-Vioglio, S.; Maccheroni, F.; Marinacci, M.; Montrucchio, L. Commutativity, comonotonicity, and Choquet integration of self-adjoint operators. (English) Zbl 1426.46042 Rev. Math. Phys. 30, No. 10, Article ID 1850016, 35 p. (2018). Reviewer: Emanuel Chetcuti (Msida) MSC: 46L51 47B15 46L30 81P16 PDF BibTeX XML Cite \textit{S. Cerreia-Vioglio} et al., Rev. Math. Phys. 30, No. 10, Article ID 1850016, 35 p. (2018; Zbl 1426.46042) Full Text: DOI OpenURL
Koch-Medina, Pablo; Munari, Cosimo; Svindland, Gregor Which eligible assets are compatible with comonotonic capital requirements? (English) Zbl 1416.91195 Insur. Math. Econ. 81, 18-26 (2018). MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{P. Koch-Medina} et al., Insur. Math. Econ. 81, 18--26 (2018; Zbl 1416.91195) Full Text: DOI arXiv OpenURL
Genest, Christian; Mesfioui, Mhamed; Schulz, Juliana A new bivariate Poisson common shock model covering all possible degrees of dependence. (English) Zbl 1392.60019 Stat. Probab. Lett. 140, 202-209 (2018). MSC: 60E05 62E15 62F10 PDF BibTeX XML Cite \textit{C. Genest} et al., Stat. Probab. Lett. 140, 202--209 (2018; Zbl 1392.60019) Full Text: DOI OpenURL
Zhang, Yiying; Li, Xiaohu; Cheung, Ka Chun On heterogeneity in the individual model with both dependent claim occurrences and severities. (English) Zbl 1390.91219 ASTIN Bull. 48, No. 2, 817-839 (2018). MSC: 91B30 60E15 62P05 91G10 PDF BibTeX XML Cite \textit{Y. Zhang} et al., ASTIN Bull. 48, No. 2, 817--839 (2018; Zbl 1390.91219) Full Text: DOI OpenURL
Yin, Chuan-cun Remarks on equality of two distributions under some partial orders. (English) Zbl 1391.60034 Acta Math. Appl. Sin., Engl. Ser. 34, No. 2, 274-280 (2018). MSC: 60E05 62P05 PDF BibTeX XML Cite \textit{C.-c. Yin}, Acta Math. Appl. Sin., Engl. Ser. 34, No. 2, 274--280 (2018; Zbl 1391.60034) Full Text: DOI arXiv OpenURL
Zhao, Yixing; Mamon, Rogemar An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks. (English) Zbl 1398.91359 Insur. Math. Econ. 78, 1-12 (2018). MSC: 91B30 91G20 PDF BibTeX XML Cite \textit{Y. Zhao} and \textit{R. Mamon}, Insur. Math. Econ. 78, 1--12 (2018; Zbl 1398.91359) Full Text: DOI OpenURL
Cheung, Ka Chun; Dhaene, Jan; Rong, Yian; Yam, Sheung Chi Phillip Probabilistic solutions for a class of deterministic optimal allocation problems. (English) Zbl 1384.90058 J. Comput. Appl. Math. 336, 394-407 (2018). MSC: 90B80 90C30 PDF BibTeX XML Cite \textit{K. C. Cheung} et al., J. Comput. Appl. Math. 336, 394--407 (2018; Zbl 1384.90058) Full Text: DOI Link OpenURL
André, Frédéric; Solovjov, V. P.; Lemonnier, D.; Webb, B. W. Comonotonic global spectral models of gas radiation in non-uniform media based on arbitrary probability measures. (English) Zbl 1476.85007 Appl. Math. Modelling 50, 741-754 (2017). MSC: 85A30 76P05 80A05 PDF BibTeX XML Cite \textit{F. André} et al., Appl. Math. Modelling 50, 741--754 (2017; Zbl 1476.85007) Full Text: DOI HAL OpenURL
Lee, Woojoo; Ahn, Jae Youn Measuring herd behavior: properties and pitfalls. (English) Zbl 1393.62045 Depend. Model. 5, 316-329 (2017). MSC: 62P05 62H05 91G70 PDF BibTeX XML Cite \textit{W. Lee} and \textit{J. Y. Ahn}, Depend. Model. 5, 316--329 (2017; Zbl 1393.62045) Full Text: DOI OpenURL
Montes, Ignacio; Destercke, Sebastien Comonotonicity for sets of probabilities. (English) Zbl 1381.60013 Fuzzy Sets Syst. 328, 1-34 (2017). MSC: 60A99 PDF BibTeX XML Cite \textit{I. Montes} and \textit{S. Destercke}, Fuzzy Sets Syst. 328, 1--34 (2017; Zbl 1381.60013) Full Text: DOI HAL OpenURL
Tran, Hien Duy; Pham, Uyen Hoang; Ly, Sel; Vo-Duy, T. Extraction dependence structure of distorted copulas via a measure of dependence. (English) Zbl 1384.62183 Ann. Oper. Res. 256, No. 2, 221-236 (2017). MSC: 62H20 PDF BibTeX XML Cite \textit{H. D. Tran} et al., Ann. Oper. Res. 256, No. 2, 221--236 (2017; Zbl 1384.62183) Full Text: DOI OpenURL
Lee, Woojoo; Cheung, Ka Chun; Ahn, Jae Youn Multivariate countermonotonicity and the minimal copulas. (English) Zbl 1359.62168 J. Comput. Appl. Math. 317, 589-602 (2017). MSC: 62H05 62H20 60E15 62P05 91B30 PDF BibTeX XML Cite \textit{W. Lee} et al., J. Comput. Appl. Math. 317, 589--602 (2017; Zbl 1359.62168) Full Text: DOI OpenURL
Halaš, Radomír; Mesiar, Radko; Pócs, Jozef Generalized comonotonicity and new axiomatizations of Sugeno integrals on bounded distributive lattices. (English) Zbl 1401.28019 Int. J. Approx. Reasoning 81, 183-192 (2017). MSC: 28E10 03E72 68Q25 PDF BibTeX XML Cite \textit{R. Halaš} et al., Int. J. Approx. Reasoning 81, 183--192 (2017; Zbl 1401.28019) Full Text: DOI arXiv OpenURL
Feng, Runhuan; Jing, Xiaochen; Dhaene, Jan Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior. (English) Zbl 1354.91066 J. Comput. Appl. Math. 311, 272-292 (2017). MSC: 91B30 60E15 65C50 PDF BibTeX XML Cite \textit{R. Feng} et al., J. Comput. Appl. Math. 311, 272--292 (2017; Zbl 1354.91066) Full Text: DOI OpenURL
Linders, Daniël; Stassen, Ben The multivariate variance gamma model: basket option pricing and calibration. (English) Zbl 1468.91171 Quant. Finance 16, No. 4, 555-572 (2016). MSC: 91G20 62P05 62H10 PDF BibTeX XML Cite \textit{D. Linders} and \textit{B. Stassen}, Quant. Finance 16, No. 4, 555--572 (2016; Zbl 1468.91171) Full Text: DOI OpenURL
Zhao, Yuchen; Yan, Tingsu; Ouyang, Yao Several inequalities for the pan-integral. (English) Zbl 1429.28029 Inf. Sci. 372, 625-633 (2016). MSC: 28E10 PDF BibTeX XML Cite \textit{Y. Zhao} et al., Inf. Sci. 372, 625--633 (2016; Zbl 1429.28029) Full Text: DOI OpenURL
Denuit, Michel; Trufin, Julien From regulatory life tables to stochastic mortality projections: the exponential decline model. (English) Zbl 1371.91085 Insur. Math. Econ. 71, 295-303 (2016). MSC: 91B30 62P05 91D20 PDF BibTeX XML Cite \textit{M. Denuit} and \textit{J. Trufin}, Insur. Math. Econ. 71, 295--303 (2016; Zbl 1371.91085) Full Text: DOI Link OpenURL
Samanthi, Ranadeera Gamage Madhuka; Wei, Wei; Brazauskas, Vytaras Ordering Gini indexes of multivariate elliptical risks. (English) Zbl 1369.91096 Insur. Math. Econ. 68, 84-91 (2016). MSC: 91B30 60E15 62H05 91B82 PDF BibTeX XML Cite \textit{R. G. M. Samanthi} et al., Insur. Math. Econ. 68, 84--91 (2016; Zbl 1369.91096) Full Text: DOI OpenURL
Vourdas, A. Comonotonicity and Choquet integrals of Hermitian operators and their applications. (English) Zbl 1347.81031 J. Phys. A, Math. Theor. 49, No. 14, Article ID 145002, 36 p. (2016). Reviewer: Michael Perelmuter (Kyïv) MSC: 81P40 81Q10 81R30 94A17 PDF BibTeX XML Cite \textit{A. Vourdas}, J. Phys. A, Math. Theor. 49, No. 14, Article ID 145002, 36 p. (2016; Zbl 1347.81031) Full Text: DOI arXiv Link OpenURL
Gbari, Samuel; Denuit, Michel Stochastic approximations in CBD mortality projection models. (English) Zbl 1331.91096 J. Comput. Appl. Math. 296, 102-115 (2016). MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{S. Gbari} and \textit{M. Denuit}, J. Comput. Appl. Math. 296, 102--115 (2016; Zbl 1331.91096) Full Text: DOI OpenURL
Puccetti, Giovanni; Wang, Ruodu Extremal dependence concepts. (English) Zbl 1426.62156 Stat. Sci. 30, No. 4, 485-517 (2015). MSC: 62H05 62H20 60E05 PDF BibTeX XML Cite \textit{G. Puccetti} and \textit{R. Wang}, Stat. Sci. 30, No. 4, 485--517 (2015; Zbl 1426.62156) Full Text: DOI arXiv Euclid OpenURL
Guillaume, Florence; Linders, Daniël Stochastic modelling of herd behaviour indices. (English) Zbl 1398.91521 Quant. Finance 15, No. 12, 1963-1977 (2015). MSC: 91G10 60J60 PDF BibTeX XML Cite \textit{F. Guillaume} and \textit{D. Linders}, Quant. Finance 15, No. 12, 1963--1977 (2015; Zbl 1398.91521) Full Text: DOI Link OpenURL
Cheung, Ka Chun; Dhaene, Jan; Kukush, Alexander; Linders, Daniël Ordered random vectors and equality in distribution. (English) Zbl 1398.91320 Scand. Actuar. J. 2015, No. 3, 221-244 (2015). MSC: 91B30 91B16 62P05 PDF BibTeX XML Cite \textit{K. C. Cheung} et al., Scand. Actuar. J. 2015, No. 3, 221--244 (2015; Zbl 1398.91320) Full Text: DOI Link OpenURL
Viswanathan, Puthan Veedu; Chand, Arya Kumar Bedabrata Monotone-comonotone approximation by fractal cubic splines and polynomials. (English) Zbl 1338.65031 ETNA, Electron. Trans. Numer. Anal. 44, 639-659 (2015). MSC: 65D05 41A29 41A30 28A80 PDF BibTeX XML Cite \textit{P. V. Viswanathan} and \textit{A. K. B. Chand}, ETNA, Electron. Trans. Numer. Anal. 44, 639--659 (2015; Zbl 1338.65031) Full Text: EMIS OpenURL
Cai, Yuzhi; Jiang, Tao Estimation of non-crossing quantile regression curves. (English) Zbl 1331.62323 Aust. N. Z. J. Stat. 57, No. 1, 139-162 (2015). MSC: 62J02 62F30 62F15 PDF BibTeX XML Cite \textit{Y. Cai} and \textit{T. Jiang}, Aust. N. Z. J. Stat. 57, No. 1, 139--162 (2015; Zbl 1331.62323) Full Text: DOI Link OpenURL
Embrechts, Paul; Wang, Ruodu Seven proofs for the subadditivity of expected shortfall. (English) Zbl 1331.91203 Depend. Model. 3, 126-140 (2015). MSC: 91G70 28A25 60E15 91B30 PDF BibTeX XML Cite \textit{P. Embrechts} and \textit{R. Wang}, Depend. Model. 3, 126--140 (2015; Zbl 1331.91203) Full Text: DOI OpenURL
Agahi, Hamzeh An elementary proof of the covariance inequality for Choquet integral. (English) Zbl 1397.60046 Stat. Probab. Lett. 106, 173-175 (2015). MSC: 60E15 26D15 28E10 PDF BibTeX XML Cite \textit{H. Agahi}, Stat. Probab. Lett. 106, 173--175 (2015; Zbl 1397.60046) Full Text: DOI OpenURL
Cerreia-Vioglio, Simone; Maccheroni, Fabio; Marinacci, Massimo; Montrucchio, Luigi Choquet integration on Riesz spaces and dual comonotonicity. (English) Zbl 1331.28007 Trans. Am. Math. Soc. 367, No. 12, 8521-8542 (2015). Reviewer: Pao-Sheng Hsu (Columbia Falls) MSC: 28A12 28A25 28C05 46B40 46B42 46G12 PDF BibTeX XML Cite \textit{S. Cerreia-Vioglio} et al., Trans. Am. Math. Soc. 367, No. 12, 8521--8542 (2015; Zbl 1331.28007) Full Text: DOI OpenURL
Noyan, Nilay; Rudolf, Gábor Kusuoka representations of coherent risk measures in general probability spaces. (English) Zbl 1358.91066 Ann. Oper. Res. 229, 591-605 (2015). MSC: 91B30 60E15 PDF BibTeX XML Cite \textit{N. Noyan} and \textit{G. Rudolf}, Ann. Oper. Res. 229, 591--605 (2015; Zbl 1358.91066) Full Text: DOI OpenURL
Lee, Woojoo; Ahn, Jae Youn Financial interpretation of herd behavior index and its statistical estimation. (English) Zbl 1320.62213 J. Korean Stat. Soc. 44, No. 2, 295-311 (2015). MSC: 62P05 91G70 91B30 91B82 PDF BibTeX XML Cite \textit{W. Lee} and \textit{J. Y. Ahn}, J. Korean Stat. Soc. 44, No. 2, 295--311 (2015; Zbl 1320.62213) Full Text: DOI OpenURL
Ahn, Jae Youn Negative dependence concept in copulas and the marginal free herd behavior index. (English) Zbl 1320.62116 J. Comput. Appl. Math. 288, 304-322 (2015). MSC: 62H10 60E15 PDF BibTeX XML Cite \textit{J. Y. Ahn}, J. Comput. Appl. Math. 288, 304--322 (2015; Zbl 1320.62116) Full Text: DOI arXiv OpenURL
Mao, Tiantian; Wang, Ruodu On aggregation sets and lower-convex sets. (English) Zbl 1321.60033 J. Multivariate Anal. 138, 170-181 (2015). MSC: 60E15 60E05 PDF BibTeX XML Cite \textit{T. Mao} and \textit{R. Wang}, J. Multivariate Anal. 138, 170--181 (2015; Zbl 1321.60033) Full Text: DOI OpenURL
Mesfioui, Mhamed; Denuit, Michel M. Comonotonicity, orthant convex order and sums of random variables. (English) Zbl 1314.60069 Stat. Probab. Lett. 96, 356-364 (2015). MSC: 60E15 PDF BibTeX XML Cite \textit{M. Mesfioui} and \textit{M. M. Denuit}, Stat. Probab. Lett. 96, 356--364 (2015; Zbl 1314.60069) Full Text: DOI Link OpenURL
Chen, Xinliang; Deelstra, Griselda; Dhaene, Jan; Linders, Daniël; Vanmaele, Michèle On an optimization problem related to static super-replicating strategies. (English) Zbl 1299.91140 J. Comput. Appl. Math. 278, 213-230 (2015). MSC: 91G20 PDF BibTeX XML Cite \textit{X. Chen} et al., J. Comput. Appl. Math. 278, 213--230 (2015; Zbl 1299.91140) Full Text: DOI OpenURL
Hainaut, Donatien; Deelstra, Griselda Default probabilities of a holding company, with complete and partial information. (English) Zbl 1319.91150 J. Comput. Appl. Math. 271, 380-400 (2014). MSC: 91G40 60H30 PDF BibTeX XML Cite \textit{D. Hainaut} and \textit{G. Deelstra}, J. Comput. Appl. Math. 271, 380--400 (2014; Zbl 1319.91150) Full Text: DOI OpenURL
Gbari, Samuel; Denuit, Michel Efficient approximations for numbers of survivors in the Lee-Carter model. (English) Zbl 1306.91076 Insur. Math. Econ. 59, 71-77 (2014). MSC: 91B30 PDF BibTeX XML Cite \textit{S. Gbari} and \textit{M. Denuit}, Insur. Math. Econ. 59, 71--77 (2014; Zbl 1306.91076) Full Text: DOI OpenURL
Lee, Woojoo; Ahn, Jae Youn On the multidimensional extension of countermonotonicity and its applications. (English) Zbl 1304.62086 Insur. Math. Econ. 56, 68-79 (2014). MSC: 62H20 62H05 62P05 91B30 PDF BibTeX XML Cite \textit{W. Lee} and \textit{J. Y. Ahn}, Insur. Math. Econ. 56, 68--79 (2014; Zbl 1304.62086) Full Text: DOI OpenURL
Xu, Zuo Quan A new characterization of comonotonicity and its application in behavioral finance. (English) Zbl 1304.91211 J. Math. Anal. Appl. 418, No. 2, 612-625 (2014). MSC: 91G10 60E15 91B16 91G80 PDF BibTeX XML Cite \textit{Z. Q. Xu}, J. Math. Anal. Appl. 418, No. 2, 612--625 (2014; Zbl 1304.91211) Full Text: DOI arXiv OpenURL
Cai, Jun; Wei, Wei Some new notions of dependence with applications in optimal allocation problems. (English) Zbl 1296.91246 Insur. Math. Econ. 55, 200-209 (2014). MSC: 91G10 91B30 60E15 PDF BibTeX XML Cite \textit{J. Cai} and \textit{W. Wei}, Insur. Math. Econ. 55, 200--209 (2014; Zbl 1296.91246) Full Text: DOI OpenURL
Schmidt, Klaus D. On inequalities for moments and the covariance of monotone functions. (English) Zbl 1296.60046 Insur. Math. Econ. 55, 91-95 (2014). MSC: 60E15 91B30 PDF BibTeX XML Cite \textit{K. D. Schmidt}, Insur. Math. Econ. 55, 91--95 (2014; Zbl 1296.60046) Full Text: DOI OpenURL
Cheung, K. C.; Rong, Yian; Yam, S. C. P. Borch’s theorem from the perspective of comonotonicity. (English) Zbl 1403.91191 Insur. Math. Econ. 54, 144-151 (2014). Reviewer: Tomáš Cipra (Praha) MSC: 91B30 91B16 PDF BibTeX XML Cite \textit{K. C. Cheung} et al., Insur. Math. Econ. 54, 144--151 (2014; Zbl 1403.91191) Full Text: DOI OpenURL
Cheung, Ka Chun; Dhaene, Jan; Lo, Ambrose; Tang, Qihe Reducing risk by merging counter-monotonic risks. (English) Zbl 1291.91098 Insur. Math. Econ. 54, 58-65 (2014). MSC: 91B30 91G10 PDF BibTeX XML Cite \textit{K. C. Cheung} et al., Insur. Math. Econ. 54, 58--65 (2014; Zbl 1291.91098) Full Text: DOI Link OpenURL
Yang, Xiaohu On comonotonic functions of uncertain variables. (English) Zbl 1411.60009 Fuzzy Optim. Decis. Mak. 12, No. 1, 89-98 (2013). MSC: 60A99 28E10 PDF BibTeX XML Cite \textit{X. Yang}, Fuzzy Optim. Decis. Mak. 12, No. 1, 89--98 (2013; Zbl 1411.60009) Full Text: DOI OpenURL
Cheung, Ka Chun; Lo, Ambrose Characterizations of counter-monotonicity and upper comonotonicity by (tail) convex order. (English) Zbl 1304.60025 Insur. Math. Econ. 53, No. 2, 334-342 (2013). MSC: 60E15 91B30 PDF BibTeX XML Cite \textit{K. C. Cheung} and \textit{A. Lo}, Insur. Math. Econ. 53, No. 2, 334--342 (2013; Zbl 1304.60025) Full Text: DOI OpenURL
Bronstein, E. M.; Prokudina, E. I. On some classes of copulas. (Russian. English summary) Zbl 1299.60104 Zh. Sredn. Mat. Obshch. 15, No. 1, 52-58 (2013). Reviewer: Artyom Andronov (Saransk) MSC: 60K35 60G99 PDF BibTeX XML Cite \textit{E. M. Bronstein} and \textit{E. I. Prokudina}, Zh. Sredn. Mat. Obshch. 15, No. 1, 52--58 (2013; Zbl 1299.60104) OpenURL
Zhang, Lianzeng; Duan, Baige A simple extension of comonotonicity: from independence to comonotonicity. (Chinese. English summary) Zbl 1299.62114 J. Syst. Sci. Math. Sci. 33, No. 8, 949-961 (2013). MSC: 62P05 PDF BibTeX XML Cite \textit{L. Zhang} and \textit{B. Duan}, J. Syst. Sci. Math. Sci. 33, No. 8, 949--961 (2013; Zbl 1299.62114) OpenURL
Durante, Fabrizio; Fernández Sánchez, Juan; Sempi, Carlo Multivariate patchwork copulas: a unified approach with applications to partial comonotonicity. (English) Zbl 1290.62040 Insur. Math. Econ. 53, No. 3, 897-905 (2013). MSC: 62H10 62H05 62E17 PDF BibTeX XML Cite \textit{F. Durante} et al., Insur. Math. Econ. 53, No. 3, 897--905 (2013; Zbl 1290.62040) Full Text: DOI OpenURL
Acciaio, Beatrice; Svindland, Gregor Are law-invariant risk functions concave on distributions? (English) Zbl 1290.91072 Depend. Model. 1, 54-64 (2013). MSC: 91B30 60E15 PDF BibTeX XML Cite \textit{B. Acciaio} and \textit{G. Svindland}, Depend. Model. 1, 54--64 (2013; Zbl 1290.91072) Full Text: DOI OpenURL
Liu, Xiaoming; Mamon, Rogemar; Gao, Huan A comonotonicity-based valuation method for guaranteed annuity options. (English) Zbl 1285.91130 J. Comput. Appl. Math. 250, 58-69 (2013). MSC: 91G20 PDF BibTeX XML Cite \textit{X. Liu} et al., J. Comput. Appl. Math. 250, 58--69 (2013; Zbl 1285.91130) Full Text: DOI OpenURL
Zhang, Lianzeng; Duan, Baige Extensions of the notion of overall comonotonicity to partial comonotonicity. (English) Zbl 1284.60038 Insur. Math. Econ. 52, No. 3, 457-464 (2013). MSC: 60E05 91B30 62H05 PDF BibTeX XML Cite \textit{L. Zhang} and \textit{B. Duan}, Insur. Math. Econ. 52, No. 3, 457--464 (2013; Zbl 1284.60038) Full Text: DOI OpenURL
Landsman, Zinoviy; Pat, Nika; Dhaene, Jan Tail variance premiums for log-elliptical distributions. (English) Zbl 1284.91247 Insur. Math. Econ. 52, No. 3, 441-447 (2013). MSC: 91B30 PDF BibTeX XML Cite \textit{Z. Landsman} et al., Insur. Math. Econ. 52, No. 3, 441--447 (2013; Zbl 1284.91247) Full Text: DOI OpenURL
Denuit, Michel; Haberman, Steven; Renshaw, Arthur E. Approximations for quantiles of life expectancy and annuity values using the parametric improvement rate approach to modelling and projecting mortality. (English) Zbl 1270.91029 Eur. Actuar. J. 3, No. 1, 191-201 (2013). MSC: 91B30 62P05 91D20 PDF BibTeX XML Cite \textit{M. Denuit} et al., Eur. Actuar. J. 3, No. 1, 191--201 (2013; Zbl 1270.91029) Full Text: DOI Link OpenURL
Rüschendorf, Ludger Mathematical risk analysis. Dependence, risk bounds, optimal allocations and portfolios. (English) Zbl 1266.91001 Springer Series in Operations Research and Financial Engineering. Berlin: Springer (ISBN 978-3-642-33589-1/hbk; 978-3-642-33590-7/ebook). xii, 408 p. (2013). Reviewer: Jonas Šiaulys (Vilnius) MSC: 91-01 91-00 91B30 91G40 PDF BibTeX XML Cite \textit{L. Rüschendorf}, Mathematical risk analysis. Dependence, risk bounds, optimal allocations and portfolios. Berlin: Springer (2013; Zbl 1266.91001) Full Text: DOI OpenURL
Cheung, Ka Chun An overview of conditional comonotonicity and its applications. (English) Zbl 1409.62210 Risk Decis. Anal. 3, No. 1-2, 67-73 (2012). MSC: 62P05 91B30 91G70 PDF BibTeX XML Cite \textit{K. C. Cheung}, Risk Decis. Anal. 3, No. 1--2, 67--73 (2012; Zbl 1409.62210) Full Text: DOI OpenURL
Denuit, Michel; Dhaene, Jan Convex order and comonotonic conditional mean risk sharing. (English) Zbl 1284.60043 Insur. Math. Econ. 51, No. 2, 265-270 (2012). MSC: 60E15 91B30 PDF BibTeX XML Cite \textit{M. Denuit} and \textit{J. Dhaene}, Insur. Math. Econ. 51, No. 2, 265--270 (2012; Zbl 1284.60043) Full Text: DOI OpenURL
Dhaene, Jan; Goovaerts, Marc; Vanmaele, Michèle; Van Weert, Koen Convex order approximations in the case of cash flows of mixed signs. (English) Zbl 1284.91517 Insur. Math. Econ. 51, No. 2, 249-256 (2012). MSC: 91G10 PDF BibTeX XML Cite \textit{J. Dhaene} et al., Insur. Math. Econ. 51, No. 2, 249--256 (2012; Zbl 1284.91517) Full Text: DOI Link OpenURL
Nakano, Yumiharu On approximating law-invariant comonotonic coherent risk measures. (English) Zbl 1277.91094 Astin Bull. 42, No. 1, 343-353 (2012). MSC: 91B30 PDF BibTeX XML Cite \textit{Y. Nakano}, ASTIN Bull. 42, No. 1, 343--353 (2012; Zbl 1277.91094) Full Text: DOI OpenURL
Lee, Simon C. K.; Lin, X. Sheldon Modeling dependent risks with multivariate Erlang mixtures. (English) Zbl 1277.62255 Astin Bull. 42, No. 1, 153-180 (2012). MSC: 62P05 62H30 91B30 PDF BibTeX XML Cite \textit{S. C. K. Lee} and \textit{X. S. Lin}, ASTIN Bull. 42, No. 1, 153--180 (2012; Zbl 1277.62255) Full Text: DOI OpenURL
Xun, Li; Sheng, Danshu; Wang, Dehui Measure on the sum of upper comonotonic random variables. (Chinese. English summary) Zbl 1289.91095 J. Jilin Univ., Sci. 50, No. 6, 1057-1063 (2012). MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{L. Xun} et al., J. Jilin Univ., Sci. 50, No. 6, 1057--1063 (2012; Zbl 1289.91095) OpenURL
Girotto, Bruno; Holzer, Silvano Chebyshev and Jensen inequalities for Choquet integral. (English) Zbl 1289.28015 Math. Pannonica 23, No. 2, 267-275 (2012). MSC: 28E10 28B15 60A86 PDF BibTeX XML Cite \textit{B. Girotto} and \textit{S. Holzer}, Math. Pannonica 23, No. 2, 267--275 (2012; Zbl 1289.28015) OpenURL
Ding, Fangqing; Qian, Linyi; Yang, Yasong An easy and feasible way to construct the joint-life status life table: method and theory. (English) Zbl 1274.62693 Chin. J. Appl. Probab. Stat. 28, No. 3, 235-243 (2012). MSC: 62P05 62Q05 PDF BibTeX XML Cite \textit{F. Ding} et al., Chin. J. Appl. Probab. Stat. 28, No. 3, 235--243 (2012; Zbl 1274.62693) OpenURL
Ekeland, Ivar; Galichon, Alfred; Henry, Marc Comonotonic measures of multivariate risks. (English) Zbl 1278.91085 Math. Finance 22, No. 1, 109-132 (2012). MSC: 91B30 62P20 PDF BibTeX XML Cite \textit{I. Ekeland} et al., Math. Finance 22, No. 1, 109--132 (2012; Zbl 1278.91085) Full Text: DOI arXiv Link OpenURL
Dhaene, Jan; Kukush, Alexander; Linders, Daniël; Tang, Qihe Remarks on quantiles and distortion risk measures. (English) Zbl 1256.91027 Eur. Actuar. J. 2, No. 2, 319-328 (2012). MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{J. Dhaene} et al., Eur. Actuar. J. 2, No. 2, 319--328 (2012; Zbl 1256.91027) Full Text: DOI Link OpenURL
Pagnoncelli, Bernardo K.; Vanduffel, Steven A provisioning problem with stochastic payments. (English) Zbl 1253.91202 Eur. J. Oper. Res. 221, No. 2, 445-453 (2012). MSC: 91G80 91G70 90C15 PDF BibTeX XML Cite \textit{B. K. Pagnoncelli} and \textit{S. Vanduffel}, Eur. J. Oper. Res. 221, No. 2, 445--453 (2012; Zbl 1253.91202) Full Text: DOI OpenURL
Dhaene, Jan; Linders, Daniël; Schoutens, Wim; Vyncke, David The herd behavior index: a new measure for the implied degree of co-movement in stock markets. (English) Zbl 1237.91237 Insur. Math. Econ. 50, No. 3, 357-370 (2012). MSC: 91G70 91B82 62H20 62P05 PDF BibTeX XML Cite \textit{J. Dhaene} et al., Insur. Math. Econ. 50, No. 3, 357--370 (2012; Zbl 1237.91237) Full Text: DOI Link OpenURL
Carlier, G.; Dana, R.-A.; Galichon, A. Pareto efficiency for the concave order and multivariate comonotonicity. (English) Zbl 1258.91126 J. Econ. Theory 147, No. 1, 207-229 (2012). MSC: 91B42 PDF BibTeX XML Cite \textit{G. Carlier} et al., J. Econ. Theory 147, No. 1, 207--229 (2012; Zbl 1258.91126) Full Text: DOI arXiv OpenURL
Dana, R.-A. Comonotonicity, efficient risk-sharing and equilibria in markets with short-selling for concave law-invariant utilities. (English) Zbl 1242.91075 J. Math. Econ. 47, No. 3, 328-335 (2011). MSC: 91B24 PDF BibTeX XML Cite \textit{R. A. Dana}, J. Math. Econ. 47, No. 3, 328--335 (2011; Zbl 1242.91075) Full Text: DOI HAL OpenURL
McWilliams, Nairn; Sabanis, Sotirios Arithmetic Asian options under stochastic delay models. (English) Zbl 1270.91097 Appl. Math. Finance 18, No. 5-6, 423-446 (2011). MSC: 91G20 PDF BibTeX XML Cite \textit{N. McWilliams} and \textit{S. Sabanis}, Appl. Math. Finance 18, No. 5--6, 423--446 (2011; Zbl 1270.91097) Full Text: DOI OpenURL
Girotto, Bruno; Holzer, Silvano Chebyshev type inequality for Choquet integral and comonotonicity. (English) Zbl 1229.28028 Int. J. Approx. Reasoning 52, No. 8, 1118-1123 (2011). MSC: 28E10 PDF BibTeX XML Cite \textit{B. Girotto} and \textit{S. Holzer}, Int. J. Approx. Reasoning 52, No. 8, 1118--1123 (2011; Zbl 1229.28028) Full Text: DOI OpenURL
Nguyen Hoa Thang; Cuyt, Annie; Celis, Oliver Salazar Comonotone and coconvex rational interpolation and approximation. (English) Zbl 1231.65031 Numer. Algorithms 58, No. 1, 1-21 (2011). Reviewer: Alexei Lukashov (Istanbul) MSC: 65D15 41A05 41A20 PDF BibTeX XML Cite \textit{Nguyen Hoa Thang} et al., Numer. Algorithms 58, No. 1, 1--21 (2011; Zbl 1231.65031) Full Text: DOI OpenURL
Deelstra, Griselda; Dhaene, Jan; Vanmaele, Michèle An overview of comonotonicity and its applications in finance and insurance. (English) Zbl 1233.60006 Di Nunno, Giulia (ed.) et al., Advanced mathematical methods for finance. Berlin: Springer (ISBN 978-3-642-18411-6/hbk; 978-3-642-18412-3/ebook). 155-179 (2011). Reviewer: Nicko G. Gamkrelidze (Moskva) MSC: 60E15 60J65 91G80 91B30 PDF BibTeX XML Cite \textit{G. Deelstra} et al., in: Advanced mathematical methods for finance. Berlin: Springer. 155--179 (2011; Zbl 1233.60006) Full Text: DOI OpenURL
Nam, Hee Seok; Tang, Qihe; Yang, Fan Characterization of upper comonotonicity via tail convex order. (English) Zbl 1222.60022 Insur. Math. Econ. 48, No. 3, 368-373 (2011). MSC: 60E15 62H15 91B30 PDF BibTeX XML Cite \textit{H. S. Nam} et al., Insur. Math. Econ. 48, No. 3, 368--373 (2011; Zbl 1222.60022) Full Text: DOI OpenURL
Mao, Tiantian; Hu, Taizhong A new proof of Cheung’s characterization of comonotonicity. (English) Zbl 1233.60009 Insur. Math. Econ. 48, No. 2, 214-216 (2011). MSC: 60E15 PDF BibTeX XML Cite \textit{T. Mao} and \textit{T. Hu}, Insur. Math. Econ. 48, No. 2, 214--216 (2011; Zbl 1233.60009) Full Text: DOI OpenURL
Girotto, Bruno; Holzer, Silvano A Chebyshev type inequality for Sugeno integral and comonotonicity. (English) Zbl 1221.28023 Int. J. Approx. Reasoning 52, No. 3, 444-448 (2011). MSC: 28E10 PDF BibTeX XML Cite \textit{B. Girotto} and \textit{S. Holzer}, Int. J. Approx. Reasoning 52, No. 3, 444--448 (2011; Zbl 1221.28023) Full Text: DOI OpenURL
Carlier, G.; Lachapelle, A. A numerical approach for a class of risk-sharing problems. (English) Zbl 1211.91114 J. Math. Econ. 47, No. 1, 1-13 (2011). MSC: 91B16 91B70 PDF BibTeX XML Cite \textit{G. Carlier} and \textit{A. Lachapelle}, J. Math. Econ. 47, No. 1, 1--13 (2011; Zbl 1211.91114) Full Text: DOI HAL OpenURL
Van Weert, Koen; Dhaene, Jan; Goovaerts, Marc Comonotonic approximations for a generalized provisioning problem with application to optimal portfolio selection. (English) Zbl 1211.91228 J. Comput. Appl. Math. 235, No. 10, 3245-3256 (2011). MSC: 91G10 PDF BibTeX XML Cite \textit{K. Van Weert} et al., J. Comput. Appl. Math. 235, No. 10, 3245--3256 (2011; Zbl 1211.91228) Full Text: DOI OpenURL
Kiesel, Swen; Rüschendorf, Ludger On optimal allocation of risk vectors. (English) Zbl 1231.91202 Insur. Math. Econ. 47, No. 2, 167-175 (2010). MSC: 91B30 91G10 PDF BibTeX XML Cite \textit{S. Kiesel} and \textit{L. Rüschendorf}, Insur. Math. Econ. 47, No. 2, 167--175 (2010; Zbl 1231.91202) Full Text: DOI OpenURL
Dong, Jing; Cheung, Ka Chun; Yang, Hailiang Upper comonotonicity and convex upper bounds for sums of random variables. (English) Zbl 1231.60016 Insur. Math. Econ. 47, No. 2, 159-166 (2010). MSC: 60E15 PDF BibTeX XML Cite \textit{J. Dong} et al., Insur. Math. Econ. 47, No. 2, 159--166 (2010; Zbl 1231.60016) Full Text: DOI OpenURL
Cheung, Ka Chun Comonotonic convex upper bound and majorization. (English) Zbl 1231.91161 Insur. Math. Econ. 47, No. 2, 154-158 (2010). MSC: 91B30 60E15 PDF BibTeX XML Cite \textit{K. C. Cheung}, Insur. Math. Econ. 47, No. 2, 154--158 (2010; Zbl 1231.91161) Full Text: DOI OpenURL