Ordering results for risk bounds and cost-efficient payoffs in partially specified risk factor models

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

zbMATH Keywords

elliptical distributionssupermodular functionrisk factor modelsconditionally comonotonic vectorscost-efficient payoffs

Mathematics Subject Classification ID

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

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