The Concept of Comonotonicity in Actuarial Science and Finance: Applications

By Jan Dhaene, Michel Denuit, Marc J. Goovaerts, Rob Kaas, David Vyncke. 2002

418 citations recorded by the source corpus.

Subfields: Demography, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/3287e436f2c092bb1548314604f7039202912385

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

In Finance

In Management Science and Operations Research

Citations in the corpus

After VaR: The Theory, Estimation, and Insurance Applications of Quantile-Based Risk Measures (2006, neutral): “Comonotonicity approaches (e.g., Dhaene et al., 2003a,b): These apply to situations where we are interested in the sums of random variables and cannot plausibly assume that these random variables are independent.”
Financial valuation of guaranteed minimum withdrawal benefits (2006, background): “SeeTurnbull and Wakeman (1991), Milevsky and Posner (1998), Bakshi and Madan (2002), Nielsen and Sandmann (2003)or Dhaene et al. (2001), for a review of the various approaches.”
Pricing of Ratchet Equity-Indexed Annuities under Stochastic Interest Rates ? (2007, background): “For the theoretical aspects of this approach, see Denuit et al. (2002a).”
Worst VaR scenarios (2005, neutral): “For an in depth dis cussion of comonotonicity, see Dhaene et al. (2001).”
Comparing Approximations for Risk Measures of Sums of Nonindependent Lognormal Random Variables (2005, neutral): “Notice that this optimal choice for is slightly different from the choice that was made for this r.v. in Dhaene et al. (2002b).”
Modeling Dependent Risks with Multivariate Erlang Mixtures (2009, background): “The notation is slightly different from that in Dhaene et al. (2002a).”
Bounds for the price of discrete arithmetic Asian options (2006, positive): “We also show in Section 2.3 how to sharpen the improved comonotonic upper bound of Kaas et al. (2000) and Dhaene et al. (2002a) by obtaining another so-called partially exact/comonotonic upper bound which consists of an exact part of the option price and some improved comonotonic upper bound for…”
Comonotonic Approximations for Optimal Portfolio Selection Problems (2005, background): “αi eZi ( 13 ) where the αi are non-negative constants and the Zi are linear combinations of the components of the random vector (Y1 ,Y 2,··· ,Y n) which is assumed to have a multivariate normal distribution:”
Risk Measures and Comonotonicity: A Review (2006, neutral): “[8,9].”
The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices (2011, background): “It turns out that the model independent upper bound on the price of a basket option is associated with a model when the assets are co-monotonic, see Dhaene et al [21] or Hobson et al [34].”
Copulas: A Review and Recent Developments (2006, background): “Additional properties, examples, applications in Finance and Insurance can be found in Dhaene et al.[35,36], Theorem (Characterization of Comonotonicity, Dhaene et al.[35]).”
Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005, methodology): “1 Description of the model In two seminal papers, Dionne and Vanasse (1989, 1992) proposed a credibility model which integrates a priori and a posteriori information on an individual basis. These authors introduced a regression component into the Poisson counting model in order to use all available ”
The concept of comonotonicity in actuarial science and finance: theory (2002, background): “(14) Note that only values of p corresponding to a horizontal segment of FX lead to different values of F−1 X (p), F −1+ X (p) and F −1(α) X (p).”
Remarks on quantiles and distortion risk measures (2012, neutral): “The proofs of the equivalence of the stated assumptions and of (4) follow from the observation that the additivity property (with respect to g) holds for both integrals in (3).”
General closed-form basket option pricing bounds (2016, neutral): “The newly introduced basket involves the components of the comonotonic version of the original random vector, see for example Dhaene et al. (2002b) and Dhaene et al. (2002a).”