A new proof of Cheung's characterization of comonotonicity

作者：Mao Tiantian; Hu Taizhong^*

来源：Insurance: Mathematics and Economics , 2011, 48(2): 214-216.

DOI：10.1016/j.insmatheco.2010.11.003

• Comonotonicity
• The convex order
• alpha-mixed inverse function

It is well known that if a random vector with given marginal distributions is comonotonic, it has the largest sum in the sense of the convex order. Cheung (2008) proved that the converse of this assertion is also true, provided that all marginal distribution functions are continuous and that the underlying probability space is atomless. This continuity assumption on the marginals was removed by Cheung (2010). In this short note, we give a new and simple proof of Cheung's result without the assumption that the underlying probability space is atomless.

• 出版日期2011-3
• 单位中国科学技术大学