Comonotonicity, orthant convex order and sums of random variables

DOI10.1016/J.SPL.2014.10.004zbMath1314.60069OpenAlexW2033813626MaRDI QIDQ2339577

Michel M. Denuit, M'hamed Mesfioui

Publication date: 1 April 2015

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

Full work available at URL: https://cdn.uclouvain.be/public/Exports%20reddot/stat/documents/DP2014_02_ALL.pdf

zbMATH Keywords

convolutionstochastic boundscomonotonicitystochastic order relationorthant convex order

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15)

Related Items (2)

Two sufficient conditions for convex ordering on risk aggregation ⋮ New properties of the orthant convex-type stochastic orders

Cites Work

• Increasing directionally convex orderings of random vectors having the same copula, and their use in comparing ordered data
• Stochastic orders
• The concept of comonotonicity in actuarial science and finance: theory.
• Stochastic comparisons for multivariate shock models
• Generalized Increasing Convex and Directionally Convex Orders
• Stochastic comparisons for queueing models via random sums and intervals
• Criteria for the Stochastic Ordering of Random Sums, with Actuarial Applications
• Upper and lower bounds for sums of random variables

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