Stochastic ordering of bivariate elliptical distributions

DOI10.1016/j.spl.2005.08.016zbMath1085.62059OpenAlexW3121887903MaRDI QIDQ2489818

Andreas Tsanakas, Zinoviy Landsman

Publication date: 28 April 2006

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

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/5990/1/LandsmanTsanakas2006.pdf

zbMATH Keywords

Risk managementportfolio riskConcordance orderDependenceElliptical distributionsstop-lossConvex order

Mathematics Subject Classification ID

Related Items (15)

Stochastic orderings for elliptical random vectors ⋮ Comparison of the multivariate skew-normal random vectors based on the integral stochastic ordering ⋮ Two sufficient conditions for convex ordering on risk aggregation ⋮ Linear orderings of the scale mixtures of the multivariate skew-normal distribution ⋮ An identity for expectations and characteristic function of matrix variate skew-normal distribution with applications to associated stochastic orderings ⋮ Portfolio selection through an extremality stochastic order ⋮ Ordering results for elliptical distributions with applications to risk bounds ⋮ Hessian and increasing-Hessian orderings of scale-shape mixtures of multivariate skew-normal distributions and applications ⋮ On some entropy and divergence type measures of variability and dependence for mixed continuous and discrete variables ⋮ Beneficial changes in dependence structures and two-moment decision models ⋮ Risk measurement in the presence of background risk ⋮ Some results on the CTE-based capital allocation rule ⋮ Stochastic orderings of multivariate elliptical distributions ⋮ Hessian orderings of multivariate normal variance-mean mixture distributions and their applications in evaluating dependent multivariate risk portfolios ⋮ K-combined random fields: Basic properties and stochastic orderings

Cites Work

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• The meta-elliptical distributions with given marginals
• An introduction to copulas. Properties and applications
• Some stochastic orders of Kotz-type distributions
• Tail Conditional Expectations for Elliptical Distributions
• Stochastic ordering of multivariate normal distributions

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