Simple characterizations of comontonocity and countermonotonocity by extremal correlations
| Authors |
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|---|---|
| Publication date | 2003 |
| Journal | Belgian Actuarial Bulletin |
| Volume | Issue number | 3 | 1 |
| Pages (from-to) | 22-27 |
| Number of pages | 6 |
| Organisations |
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| Abstract | In this pedagogical note, it is shown how extremal values of classical measures of association like Pearson's correlation coefficient, Kendall's τ, Spearman's ρ and Gini's γ, characterize comonotonicity and countermonotonicity. The link between zero-correlation and mutual independence is also examined. |
| Document type | Article |
| Language | English |
| Published at | http://www.belgianactuarialbulletin.be/articles/vol03/02-Denuit.pdf |
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