Ordering results for risk bounds and cost-efficient payoffs in partially specified risk factor models
From MaRDI portal
Publication:1617321
DOI10.1007/s11009-016-9536-1zbMath1402.60021OpenAlexW2565596180MaRDI QIDQ1617321
Jonathan Ansari, Ludger Rüschendorf
Publication date: 8 November 2018
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-016-9536-1
elliptical distributionssupermodular functionrisk factor modelsconditionally comonotonic vectorscost-efficient payoffs
Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items
Ordering results for elliptical distributions with applications to risk bounds ⋮ Ordering risk bounds in factor models
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On the distributional transform, Sklar's theorem, and the empirical copula process
- Stochastic orders
- Hessian orders and multinormal distributions
- Inequalities for distributions with given marginals
- On the theory of elliptically contoured distributions
- An introduction to copulas. Properties and applications
- Supermodular stochastic orders and positive dependence of random vectors
- Some stochastic orders of Kotz-type distributions
- Cost-efficiency in multivariate Lévy models
- Risk bounds for factor models
- Mathematical Risk Analysis
- OPTIMALITY OF PAYOFFS IN LÉVY MODELS
- Improving the Design of Financial Products in a Multidimensional Black-Scholes Market
- Stochastically ordered distributions and monotonicity of the oc-function of sequential probability ratio tests
- Inequalities for E k(X, Y) when the marginals are fixed
- Optimal payoffs under state-dependent preferences
- Optimal claims with fixed payoff structure
- Inequalities: theory of majorization and its applications
