A multivariate extension of the increasing convex order to compare risks

DOI10.1016/j.insmatheco.2016.03.011zbMath1370.60036OpenAlexW2328001871MaRDI QIDQ320306

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.2016.03.011

zbMATH Keywords

increasing convex order dependence conditionally increasing Kendall distribution function multivariate CTE

Mathematics Subject Classification ID

Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).

Related Items (1)

Some results on dependent random variables and a connection with the multivariate s-increasing convex order

Cites Work

On multivariate extensions of value-at-risk
Bivariate lower and upper orthant value-at-risk
On multivariate extensions of conditional-tail-expectation
Increasing directionally convex orderings of random vectors having the same copula, and their use in comparing ordered data
Stochastic orders
Characterization of stochastic orders by \(L\)-functionals
A directional multivariate value at risk
Worst VaR scenarios with given marginals and measures of association
Worst VaR scenarios: A remark
Classes of orderings of measures and related correlation inequalities. I. Multivariate totally positive distributions
An introduction to copulas. Properties and applications
A class of bivariate stochastic orderings, with applications in actuarial sciences
Kendall distribution functions.
Archimedean copulae and positive dependence
On a new notion of multidimensional quantile
On multivariate extensions of the conditional value-at-risk measure
Comparison of conditional distributions in portfolios of dependent risks
Properties and calculation of multivariate risk measures: MVaR and MCVaR
Bounds for functions of multivariate risks
Coherent Measures of Risk
Multivariate Concave and Convex Stochastic Dominance
Mathematical Risk Analysis
Statistical Inference Procedures for Bivariate Archimedean Copulas
Generalized Increasing Convex and Directionally Convex Orders
Quantile functions for multivariate analysis: approaches and applications
ON SOME PROPERTIES OF TWO VECTOR-VALUED VAR AND CTE MULTIVARIATE RISK MEASURES FOR ARCHIMEDEAN COPULAS
Some Concepts of Dependence
Stochastic Comparison of Random Vectors with a Common Copula
On the multivariate probability integral transformation
Unnamed Item
Unnamed Item
Unnamed Item

This page was built for publication: A multivariate extension of the increasing convex order to compare risks