Related papers: Weak comonotonicity
We establish a connection between dependence structures and subclasses of distortion riskmetrics under which the latter are additive. A new notion of positive dependence, called partial comonotonicity, is developed, which nests the existing…
We systematically study pairwise counter-monotonicity, an extremal notion of negative dependence. A stochastic representation and an invariance property are established for this dependence structure. We show that pairwise…
Regulatory and contractual constraints on individual exposures are standard in insurance and reinsurance markets, but a poorly designed constraint can distort the economic incentives of risk-averse agents. In the unconstrained problem, the…
Portfolio diversification is a cornerstone of modern finance, while risk aversion is central to decision theory; both concepts are long-standing and foundational. We investigate their connections by studying how different forms of…
Within the context of capital adequacy, we study comonotonicity of risk measures in terms of the primitives of the theory: acceptance sets and eligible, or reference, assets. We show that comonotonicity cannot be characterized by the…
Two acts are comonotonic if they yield high payoffs in the same states of nature. The main purpose of this paper is to derive a new characterization of Cumulative Prospect Theory (CPT) through simple properties involving comonotonicity. The…
We propose a multivariate extension of a well-known characterization by S. Kusuoka of regular and coherent risk measures as maximal correlation functionals. This involves an extension of the notion of comonotonicity to random vectors…
We address the problem of sharing risk among agents with preferences modelled by a general class of comonotonic additive and law-based functionals that need not be either monotone or convex. Such functionals are called distortion…
Comonotonicity (``same variation'') of random variables minimizes hedging possibilities and has been widely used, e.g., in Gilboa and Schmeidler's ambiguity models. This paper investigates anticomonotonicity (``opposite variation'';…
In this paper, we focus on efficient risk-sharing rules for the concave dominance order. For a univariate risk, it follows from a comonotone dominance principle, due to Landsberger and Meilijson [25], that efficiency is characterized by a…
A joint mix is a random vector with a constant component-wise sum. The dependence structure of a joint mix minimizes some common objectives such as the variance of the component-wise sum, and it is regarded as a concept of extremal negative…
We introduce the concept of an extremely negatively dependent (END) sequence of random variables with a given common marginal distribution. The END structure, as a new benchmark for negative dependence, is comparable to comonotonicity and…
Monotonicity with respect to all arguments is fundamental to the definition of aggregation functions. It is also a limiting property that results in many important non-monotonic averaging functions being excluded from the theoretical…
Algorithms for min-max optimization and variational inequalities are often studied under monotonicity assumptions. Motivated by non-monotone machine learning applications, we follow the line of works [Diakonikolas et al., 2021, Lee and Kim,…
A common statistical task lies in showing asymptotic normality of certain statistics. In many of these situations, classical textbook results on weak convergence theory suffice for the problem at hand. However, there are quite some…
In this paper, we study dependence uncertainty and the resulting effects on tail risk measures, which play a fundamental role in modern risk management. We introduce the notion of a regular dependence measure, defined on multi-marginal…
Our earlier work titled: "Win-move is Coordination-Free (Sometimes)" has shown that the classes of queries that can be distributedly computed in a coordination-free manner form a strict hierarchy depending on the assumptions of the model…
Risk measures satisfying the axiom of comonotonic additivity are extensively studied, arguably because of the plethora of results indicating interesting aspects of such risk measures. Recent research, however, has shown that this axiom is…
Comonotonicity had been a extreme case of dependency between random variables. This article consider an extension of single life model under multiple dependent decrement causes to the case of comonotonic group-life.
The idea of monotonicity (or positive-definiteness in the linear case) is shown to be the central theme of the solution theories associated with problems of mathematical physics. A "grand unified" setting is surveyed covering a…