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翻訳と辞書　辞書検索 [ 開発暫定版 ] スポンサード リンク Comonotonicity ： ウィキペディア英語版 Comonotonicity In probability theory, comonotonicity mainly refers to the perfect positive dependence between the components of a random vector, essentially saying that they can be represented as increasing functions of a single random variable. In two dimensions it is also possible to consider perfect negative dependence, which is called countermonotonicity. Comonotonicity is also related to the comonotonic additivity of the Choquet integral. The concept of comonotonicity has applications in financial risk management and actuarial science, see e.g. and . In particular, the sum of the components is the riskiest if the joint probability distribution of the random vector is comonotonic. Furthermore, the -quantile of the sum equals of the sum of the -quantiles of its components, hence comonotonic random variables are quantile-additive. In practical risk management terms it means that there is minimal (or eventually no) variance reduction from diversification. For extensions of comonotonicity, see and . ==Definitions== 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「Comonotonicity」の詳細全文を読む スポンサード リンク 翻訳と辞書 : 翻訳のためのインターネットリソース Copyright(C) kotoba.ne.jp 1997-2016. All Rights Reserved.