2014/10/29 by Zhang, Ying, Yin, Chuancun
#FOS: Economics and business #FOS: Mathematics #Risk Management (q-fin.RM) #Statistics Theory (math.ST)
paper · doi:10.48550/arxiv.1410.7845
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.