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Around Convex Ordering and Comonotonicity

Halim Zeghdoudi, Mohamed Riad Remita


In this paper, we discuss the use of lower convex order of random variables to approximate this distribution. Further, many applications and some examples of this approximate distribution are given : Individual and collective risk model, Reinsurance contracts, Diversication of risks and Dependent portfolios increase risk. Using a recent result of Deelstra et all (2011) which authors discuss the comonotonicity as a tool to deal with sums of dependent random variables. More precisely, we give an extensive bibliographic overview of the developments of the theory of comonotonicity and its applications. These applications range from pricing and hedging of derivatives over risk management to life insurance.


Convex order, Comonotonocity, Stop-loss premiums.

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