Ordering results for elliptical distributions with applications to risk bounds

DOI10.1016/j.jmva.2020.104709zbMath1453.60046OpenAlexW3110789111MaRDI QIDQ2222233

Jonathan Ansari, Ludger Rüschendorf

Publication date: 26 January 2021

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2020.104709

zbMATH Keywords

elliptically contoured distributionspartial correlationsrisk boundssupermodular orderingcanonical vinedirectionally convex ordering

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Risk models (general) (91B05)

Related Items (4)

Exchangeable FGM copulas ⋮ An identity for expectations and characteristic function of matrix variate skew-normal distribution with applications to associated stochastic orderings ⋮ Supermodular and directionally convex comparison results for general factor models ⋮ Copula modeling from Abe Sklar to the present day

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