Comparison of portfolios which depend on multivariate Bernoulli random variables with fixed marginals.

DOI10.1016/S0167-6687(01)00092-0zbMath1074.91551OpenAlexW2064756129MaRDI QIDQ1413288

Esther Frostig

Publication date: 16 November 2003

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6687(01)00092-0

zbMATH Keywords

Convex orderingDependent risksSupermodular ordering

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15)

Related Items (13)

A note on multivariate stochastic comparisons of Bernoulli random variables ⋮ Success runs in a sequence of exchangeable binary trials ⋮ Preservation of WSAI under default transforms and its application in allocating assets with dependent realizable returns ⋮ Exchangeable FGM copulas ⋮ High dimensional Bernoulli distributions: algebraic representation and applications ⋮ CONVEX COMPARISONS FOR RANDOM SUMS IN RANDOM ENVIRONMENTS AND APPLICATIONS ⋮ Multivariate insurance models: an overview ⋮ Comparison of multi-stage dose-response mixture models, with applications ⋮ A surrogate-based multiobjective metaheuristic and network degradation simulation model for robust toll pricing ⋮ Ordering optimal proportions in the asset allocation problem with dependent default risks ⋮ On risk dependence and mrl ordering ⋮ Dependence structures of multivariate Bernoulli random vectors ⋮ General Marshall–Olkin Models, Dependence Orders, and Comparisons of Environmental Processes

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• Inequalities: theory of majorization and its applications

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