Hessian orderings of multivariate normal variance-mean mixture distributions and their applications in evaluating dependent multivariate risk portfolios

DOI10.1007/s10260-021-00610-5OpenAlexW3215982039MaRDI QIDQ2082471

Mehdi Amiri, Abbas Eftekharian, Narayanaswamy Balakrishnan

Publication date: 4 October 2022

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10260-021-00610-5

zbMATH Keywords

order statisticsconvex conelinear orderportfoliosreliability systemsstop-loss orderHessian orderintegral ordermultivariate normal variance-mean mixture distribution

Mathematics Subject Classification ID

Statistics (62-XX)

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