A new multivariate dependence measure based on comonotonicity

Abstract

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.