Simple characterizations of comonotonicity and countermonotonicity by extremal correlations
(2003) Belgian Actuarial Bulletin — Vol. 3, p. 22-27 (2003)
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- Abstract
- In this pedagogical note, it is shown how extremal values of classical measures of association like Pearson's correlation coeffcient, 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
- Affiliations
Louvain School of Management
Citations
Denuit, M., & Dhaene, J. (2003). Simple characterizations of comonotonicity and countermonotonicity by extremal correlations. Belgian Actuarial Bulletin, 3, 22-27. https://hdl.handle.net/2078.5/70043 (Original work published 2003)