Supermodular ordering of Poisson arrays

DOI10.1016/j.spl.2014.12.021zbMath1321.60029OpenAlexW2014949718MaRDI QIDQ2018634

Bünyamin Kızıldemir, Nicolas Privault

Publication date: 24 March 2015

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

Full work available at URL: http://hdl.handle.net/10220/25440

zbMATH Keywords

Poisson distributionsupermodular functionsstochastic orderingjump-diffusion modelsinfinitely divisible random vectors

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Inequalities; stochastic orderings (60E15) Measures of association (correlation, canonical correlation, etc.) (62H20) Financial applications of other theories (91G80)

Related Items (2)

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Cites Work

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• Comparison of semimartingales and Lévy processes
• Convex ordering for random vectors using predictable representation
• The structure of multivariate Poisson distribution
• Interpolation, correlation identities, and inequalities for infinitely divisible variables
• Stop-loss order for portfolios of dependent risks
• Some remarks on the supermodular order
• Dependence properties and comparison results for Lévy processes
• Stochastic ordering of multivariate normal distributions

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