Ordering Gini indexes of multivariate elliptical risks

DOI10.1016/j.insmatheco.2016.03.005zbMath1369.91096OpenAlexW3125918523MaRDI QIDQ320267

Vytaras Brazauskas, Wei Wei, Ranadeera Gamage Madhuka Samanthi

Publication date: 6 October 2016

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.03.005

zbMATH Keywords

usual stochastic orderincreasing convex ordercomonotonicitysupermodular orderdependence structureelliptical distributionpd-1 order

Mathematics Subject Classification ID

Related Items (4)

BEYOND THE PEARSON CORRELATION: HEAVY-TAILED RISKS, WEIGHTED GINI CORRELATIONS, AND A GINI-TYPE WEIGHTED INSURANCE PRICING MODEL ⋮ Hessian and increasing-Hessian orderings of scale-shape mixtures of multivariate skew-normal distributions and applications ⋮ Stochastic ordering of Gini indexes for multivariate elliptical risks ⋮ Analytic expressions for multivariate Lorenz surfaces

Uses Software

• QRM

Cites Work

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