A new multivariate dependence measure based on comonotonicity
Risk Management
2016-11-04 v1 Statistics Theory
Statistics Theory
Abstract
In this paper we introduce a new multivariate dependence measure based on comonotonicity by means of product moment which motivated by the recent papers of Koch and Schepper (ASTIN Bulletin 41 (2011) 191-213) and Dhaene et al. (Journal of Computational and Applied Mathematics 263 (2014) 78-87). Some differences and relations between the new dependence measure and other multivariate measures are an- alyzed. We also give several characteristics of this measure and estimations based on the definitions and its property are presented.
Cite
@article{arxiv.1410.7845,
title = {A new multivariate dependence measure based on comonotonicity},
author = {Ying Zhang and Chuancun Yin},
journal= {arXiv preprint arXiv:1410.7845},
year = {2016}
}
Comments
18pages