Stochastic ordering of bivariate elliptical distributions
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Ding, Ying & Zhang, Xinsheng, 2004. "Some stochastic orders of Kotz-type distributions," Statistics & Probability Letters, Elsevier, vol. 69(4), pages 389-396, October.
- Dhaene, Jan & Goovaerts, Marc J., 1996. "Dependency of Risks and Stop-Loss Order1," ASTIN Bulletin, Cambridge University Press, vol. 26(2), pages 201-212, November.
- Fang, Hong-Bin & Fang, Kai-Tai & Kotz, Samuel, 2002. "The Meta-elliptical Distributions with Given Marginals," Journal of Multivariate Analysis, Elsevier, vol. 82(1), pages 1-16, July.
- Alfred Müller, 2001. "Stochastic Ordering of Multivariate Normal Distributions," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 53(3), pages 567-575, September.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Tsanakas, Andreas, 2008. "Risk measurement in the presence of background risk," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 520-528, April.
- Chuancun Yin, 2019. "Stochastic Orderings of Multivariate Elliptical Distributions," Papers 1910.07158, arXiv.org, revised Nov 2019.
- Pan, Xiaoqing & Qiu, Guoxin & Hu, Taizhong, 2016. "Stochastic orderings for elliptical random vectors," Journal of Multivariate Analysis, Elsevier, vol. 148(C), pages 83-88.
- Dhaene, J. & Henrard, L. & Landsman, Z. & Vandendorpe, A. & Vanduffel, S., 2008. "Some results on the CTE-based capital allocation rule," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 855-863, April.
- Amiri, Mehdi & Izadkhah, Salman & Jamalizadeh, Ahad, 2020. "Linear orderings of the scale mixtures of the multivariate skew-normal distribution," Journal of Multivariate Analysis, Elsevier, vol. 179(C).
- Xu Guo & Andreas Wagener & Wing-Keung Wong & Lixing Zhu, 2018.
"The two-moment decision model with additive risks,"
Risk Management, Palgrave Macmillan, vol. 20(1), pages 77-94, February.
- Guo, Xu & Wagener, Andreas & Wong, Wing-Keung & Zhu, Lixing, 2017. "The Two-Moment Decision Model with Additive Risks," MPRA Paper 77625, University Library of Munich, Germany.
- Ansari, Jonathan & Rüschendorf, Ludger, 2021. "Ordering results for elliptical distributions with applications to risk bounds," Journal of Multivariate Analysis, Elsevier, vol. 182(C).
- Pellerey, Franco & Laniado Rodas, Henry, 2012. "Portfolio selection through and extremality stochastic order," DES - Working Papers. Statistics and Econometrics. WS ws121812, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Laniado, Henry & Lillo, Rosa E. & Pellerey, Franco & Romo, Juan, 2012. "Portfolio selection through an extremality stochastic order," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 1-9.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Amiri, Mehdi & Izadkhah, Salman & Jamalizadeh, Ahad, 2020. "Linear orderings of the scale mixtures of the multivariate skew-normal distribution," Journal of Multivariate Analysis, Elsevier, vol. 179(C).
- Pan, Xiaoqing & Qiu, Guoxin & Hu, Taizhong, 2016. "Stochastic orderings for elliptical random vectors," Journal of Multivariate Analysis, Elsevier, vol. 148(C), pages 83-88.
- Jan A. Van Mieghem & Nils Rudi, 2002. "Newsvendor Networks: Inventory Management and Capacity Investment with Discretionary Activities," Manufacturing & Service Operations Management, INFORMS, vol. 4(4), pages 313-335, August.
- Goovaerts, M. J. & Dhaene, J., 1999. "Supermodular ordering and stochastic annuities," Insurance: Mathematics and Economics, Elsevier, vol. 24(3), pages 281-290, May.
- Mansour Shrahili & Mohamed Kayid, 2023. "Stochastic Orderings of the Idle Time of Inactive Standby Systems," Mathematics, MDPI, vol. 11(20), pages 1-21, October.
- Agbeyegbe, Terence D., 2015.
"An inverted U-shaped crude oil price return-implied volatility relationship,"
Review of Financial Economics, Elsevier, vol. 27(C), pages 28-45.
- Terence D. Agbeyegbe, 2015. "An inverted U‐shaped crude oil price return‐implied volatility relationship," Review of Financial Economics, John Wiley & Sons, vol. 27(1), pages 28-45, November.
- Shilan Li & Jianxin Shi & Paul Albert & Hong-Bin Fang, 2022. "Dependence Structure Analysis and Its Application in Human Microbiome," Mathematics, MDPI, vol. 11(1), pages 1-14, December.
- Yeo, Keng Leong & Valdez, Emiliano A., 2006. "Claim dependence with common effects in credibility models," Insurance: Mathematics and Economics, Elsevier, vol. 38(3), pages 609-629, June.
- Frostig, Esther, 2006. "On risk dependence and mrl ordering," Statistics & Probability Letters, Elsevier, vol. 76(3), pages 231-243, February.
- Kaas, Rob & Tang, Qihe, 2005. "A large deviation result for aggregate claims with dependent claim occurrences," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 251-259, June.
- Kaas, Rob & Laeven, Roger J.A. & Nelsen, Roger B., 2009. "Worst VaR scenarios with given marginals and measures of association," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 146-158, April.
- Albers, Willem, 1999. "Stop-loss premiums under dependence," Insurance: Mathematics and Economics, Elsevier, vol. 24(3), pages 173-185, May.
- Ansari, Jonathan & Rüschendorf, Ludger, 2021. "Ordering results for elliptical distributions with applications to risk bounds," Journal of Multivariate Analysis, Elsevier, vol. 182(C).
- Yi, Zhang & Weng, Chengguo, 2006. "On the correlation order," Statistics & Probability Letters, Elsevier, vol. 76(13), pages 1410-1416, July.
- Dhaene, Jan & Denuit, Michel, 1999. "The safest dependence structure among risks," Insurance: Mathematics and Economics, Elsevier, vol. 25(1), pages 11-21, September.
- Paolella, Marc S. & Polak, Paweł, 2015. "ALRIGHT: Asymmetric LaRge-scale (I)GARCH with Hetero-Tails," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 282-297.
- Lu, Tong-Yu & Yi, Zhang, 2004. "Generalized correlation order and stop-loss order," Insurance: Mathematics and Economics, Elsevier, vol. 35(1), pages 69-76, August.
- Dhaene, J. & Denuit, M. & Goovaerts, M. J. & Kaas, R. & Vyncke, D., 2002. "The concept of comonotonicity in actuarial science and finance: theory," Insurance: Mathematics and Economics, Elsevier, vol. 31(1), pages 3-33, August.
- Cheung, Ka Chun & Lo, Ambrose, 2013. "General lower bounds on convex functionals of aggregate sums," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 884-896.
- He, Yong & Zhang, Liang & Ji, Jiadong & Zhang, Xinsheng, 2019. "Robust feature screening for elliptical copula regression model," Journal of Multivariate Analysis, Elsevier, vol. 173(C), pages 568-582.
More about this item
Keywords
Elliptical distributions Convex order Concordance order Dependence Risk management;Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:76:y:2006:i:5:p:488-494. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.