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An Overview of Comonotonicity and its Applications in Finance and Insurance
Year Of Publication: 2010
Month Of Publication: February
Pages: 23
Download Count: 5
View Count: 1575
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 3-10-2011
Publisher: Administrator
Summary
Over the last decade, it has been shown that the concept of comonotonicity is a helpful tool for solving several research and practical problems in the domain of nance and insurance. In this paper, we give an extensive bibliographic overview - without claiming to be complete - of the developments of the theory of comonotonicity and its applications, with an emphasis on the achievements over the last ve years. These applications range from pricing and hedging of derivatives over risk management to life insurance.
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Deelstra, Griselda Sign in to follow this author
Dhaene, Jan L. M. Sign in to follow this author
Vanmaele, Michele Sign in to follow this author
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