Supermodular dependence ordering on a class of multivariate copulas

DOI10.1016/S0167-7152(02)00094-9zbMath1005.60037MaRDI QIDQ1613090

Gang Wei, Taizhong Hu

Publication date: 5 September 2002

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Characterization and structure theory of statistical distributions (62E10)

Related Items (22)

VaR bounds in models with partial dependence information on subgroups ⋮ How retention levels influence the variability of the total risk under reinsurance ⋮ On expected utility for financial insurance portfolios with stochastic dependencies ⋮ New Families of Copulas Based on Periodic Functions ⋮ Stochastic comparisons of parallel and series systems of dependent components equipped with starting devices ⋮ A new algorithm based on copulas for VaR valuation with empirical calculations ⋮ On multivariate extensions of value-at-risk ⋮ Ordering of multivariate risk models with respect to extreme portfolio losses ⋮ Collective risk models with dependence ⋮ Exchangeable FGM copulas ⋮ Compound Poisson approximations for individual models with dependent risks. ⋮ Estimating value at risk of portfolio by conditional copula-GARCH method ⋮ Comparison results for exchangeable credit risk portfolios ⋮ Inference in multivariate Archimedean copula models ⋮ Actuarial comparisons for aggregate claims with randomly right-truncated claims ⋮ Archimedean copulae and positive dependence ⋮ Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness ⋮ A Compendium of Copulas ⋮ Ruin-based risk measures in discrete-time risk models ⋮ Relations between the spectral measures and dependence of MEV distributions ⋮ DIVERSIFICATION IN CATASTROPHE INSURANCE MARKETS ⋮ On multivariate extensions of the conditional value-at-risk measure

Cites Work

• Inequalities for distributions with given marginals
• Families of min-stable multivariate exponential and multivariate extreme value distributions
• An introduction to copulas. Properties and applications
• Supermodular ordering and stochastic annuities
• Supermodular stochastic orders and positive dependence of random vectors
• Stop-loss order for portfolios of dependent risks
• Some remarks on the supermodular order
• Multivariate concordance
• COMPARISONS OF DEPENDENCE FOR STATIONARY MARKOV PROCESSES
• Inequalities for stochastic models via supermodular orderings
• Modeling and Comparing Dependencies in Multivariate Risk Portfolios
• Comparison Results for Markov-Modulated Recursive Models
• An Inequality for Rearrangements
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Supermodular dependence ordering on a class of multivariate copulas