Hessian orders and multinormal distributions
Author
Abstract
Suggested Citation
DOI: 10.1016/j.jmva.2009.03.009
Download full text from publisher
To our knowledge, this item is not available for download. To find whether it is available, there are three options:1. Check below whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Other versions of this item:
- Arlotto, Alessandro & Scarsini, Marco, 2009. "Hessian orders and multinormal distributions," Journal of Multivariate Analysis, Elsevier, vol. 100(10), pages 2324-2330, November.
References listed on IDEAS
- Moshe Shaked & J. Shanthikumar, 1990. "Parametric stochastic convexity and concavity of stochastic processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 42(3), pages 509-531, September.
- Marco Scarsini, 1998. "Multivariate convex orderings, dependence, and stochastic equality," Post-Print hal-00541775, HAL.
- Block, Henry W. & Sampson, Allan R., 1988. "Conditionally ordered distributions," Journal of Multivariate Analysis, Elsevier, vol. 27(1), pages 91-104, October.
- Ludolf E. Meester & J. George Shanthikumar, 1999. "Stochastic Convexity on General Space," Mathematics of Operations Research, INFORMS, vol. 24(2), pages 472-494, May.
- 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.
- Müller, Alfred & Scarsini, Marco, 2000.
"Some Remarks on the Supermodular Order,"
Journal of Multivariate Analysis, Elsevier, vol. 73(1), pages 107-119, April.
- Marco Scarsini & Alfred Muller, 2000. "Some remarks on the supermodular order," Post-Print hal-00540239, HAL.
- Marco Scarsini & Alfred Muller, 2001. "Stochastic comparison of random vectors with a common copula," Post-Print hal-00540198, HAL.
- Alfred Müller & Marco Scarsini, 2001.
"Stochastic Comparison of Random Vectors with a Common Copula,"
Mathematics of Operations Research, INFORMS, vol. 26(4), pages 723-740, November.
- Marco Scarsini & Alfred Muller, 2001. "Stochastic comparison of random vectors with a common copula," Post-Print hal-00540198, HAL.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- 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.
- Margaret Meyer & Bruno Strulovici, 2013.
"The Supermodular Stochastic Ordering,"
Discussion Papers
1563, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Meyer, Margaret & Strulovici, Bruno, 2013. "The Supermodular Stochastic Ordering," CEPR Discussion Papers 9486, C.E.P.R. Discussion Papers.
- 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).
- Margaret Meyer & Bruno Strulovici, 2013. "Beyond Correlation: Measuring Interdependence Through Complementarities," Economics Series Working Papers 655, University of Oxford, Department of Economics.
- Mehdi Amiri & Narayanaswamy Balakrishnan & Abbas Eftekharian, 2022. "Hessian orderings of multivariate normal variance-mean mixture distributions and their applications in evaluating dependent multivariate risk portfolios," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 31(3), pages 679-707, September.
- Andrea Galeotti & Christian Ghiglinoy & Sanjeev Goyal, 2016. "Financial Linkages, Portfolio Choice and Systemic Risk," Cambridge Working Papers in Economics 1612, Faculty of Economics, University of Cambridge.
- Jonathan Ansari & Ludger Rüschendorf, 2018. "Ordering Results for Risk Bounds and Cost-efficient Payoffs in Partially Specified Risk Factor Models," Methodology and Computing in Applied Probability, Springer, vol. 20(3), pages 817-838, September.
- Müller, Alfred & Scarsini, Marco, 2012. "Fear of loss, inframodularity, and transfers," Journal of Economic Theory, Elsevier, vol. 147(4), pages 1490-1500.
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).
- Mehdi Amiri & Narayanaswamy Balakrishnan & Abbas Eftekharian, 2022. "Hessian orderings of multivariate normal variance-mean mixture distributions and their applications in evaluating dependent multivariate risk portfolios," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 31(3), pages 679-707, September.
- Ansari, Jonathan & Rüschendorf, Ludger, 2021. "Ordering results for elliptical distributions with applications to risk bounds," Journal of Multivariate Analysis, Elsevier, vol. 182(C).
- Alfred Müller & Marco Scarsini, 2001.
"Stochastic Comparison of Random Vectors with a Common Copula,"
Mathematics of Operations Research, INFORMS, vol. 26(4), pages 723-740, November.
- Marco Scarsini & Alfred Muller, 2001. "Stochastic comparison of random vectors with a common copula," Post-Print hal-00540198, HAL.
- Chuancun Yin & Jing Yao & Yang Yang, 2024. "Hessian and increasing-Hessian orderings of multivariate skew-elliptical random vectors with applications in actuarial science," Statistical Papers, Springer, vol. 65(7), pages 4715-4744, September.
- Laureano Escudero & Eva-María Ortega, 2009. "How retention levels influence the variability of the total risk under reinsurance," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 17(1), pages 139-157, July.
- Charles J. Corbett & Kumar Rajaram, 2006. "A Generalization of the Inventory Pooling Effect to Nonnormal Dependent Demand," Manufacturing & Service Operations Management, INFORMS, vol. 8(4), pages 351-358, August.
- Francesco Andreoli & Claudio Zoli, 2020. "From unidimensional to multidimensional inequality: a review," METRON, Springer;Sapienza Università di Roma, vol. 78(1), pages 5-42, April.
- Belzunce, Félix & Suárez-Llorens, Alfonso & Sordo, Miguel A., 2012. "Comparison of increasing directionally convex transformations of random vectors with a common copula," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 385-390.
- Colangelo, Antonio & Scarsini, Marco & Shaked, Moshe, 2005.
"Some notions of multivariate positive dependence,"
Insurance: Mathematics and Economics, Elsevier, vol. 37(1), pages 13-26, August.
- Marco Scarsini & Antonio Colangelo & Moshe Shaked, 2005. "Some notions of multivariate positive dependence," Post-Print hal-00539601, HAL.
- Fabrizio Durante, 2009. "Construction of non-exchangeable bivariate distribution functions," Statistical Papers, Springer, vol. 50(2), pages 383-391, March.
- Xie, Hongmei & Hu, Taizhong, 2010. "Some new results on multivariate dispersive ordering of generalized order statistics," Journal of Multivariate Analysis, Elsevier, vol. 101(4), pages 964-970, April.
- Escudero, Laureano F. & Ortega, Eva-María, 2008. "Actuarial comparisons for aggregate claims with randomly right-truncated claims," Insurance: Mathematics and Economics, Elsevier, vol. 43(2), pages 255-262, October.
- Chuancun Yin, 2019. "Stochastic Orderings of Multivariate Elliptical Distributions," Papers 1910.07158, arXiv.org, revised Nov 2019.
- Rüschendorf Ludger & Witting Julian, 2017. "VaR bounds in models with partial dependence information on subgroups," Dependence Modeling, De Gruyter, vol. 5(1), pages 59-74, January.
- Ding, Ying & Zhang, Xinsheng, 2004. "Some stochastic orders of Kotz-type distributions," Statistics & Probability Letters, Elsevier, vol. 69(4), pages 389-396, October.
- Pan, Xiaoqing & Qiu, Guoxin & Hu, Taizhong, 2016. "Stochastic orderings for elliptical random vectors," Journal of Multivariate Analysis, Elsevier, vol. 148(C), pages 83-88.
- Massimo Marinacci & Luigi Montrucchio, 2005.
"Ultramodular Functions,"
Mathematics of Operations Research, INFORMS, vol. 30(2), pages 311-332, May.
- Massimo Marinacci & Luigi Montrucchio, 2003. "Ultramodular functions," ICER Working Papers - Applied Mathematics Series 13-2003, ICER - International Centre for Economic Research.
- Samanthi, Ranadeera Gamage Madhuka & Wei, Wei & Brazauskas, Vytaras, 2016. "Ordering Gini indexes of multivariate elliptical risks," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 84-91.
- Boonen, Tim J. & Liu, Fangda, 2022. "Insurance with heterogeneous preferences," Journal of Mathematical Economics, Elsevier, vol. 102(C).
More about this item
Keywords
Hessian orders; Multivariate normal distribution; Convex cones; Dual space; Completely positive order;All these keywords.
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:hal:journl:hal-00491679. 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: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.