Comparison of increasing directionally convex transformations of random vectors with a common copula
From MaRDI portal
Publication:414603
DOI10.1016/j.insmatheco.2012.02.001zbMath1239.60008OpenAlexW2015915370MaRDI QIDQ414603
Alfonso Suárez-Llorens, Miguel A. Sordo, Felix Belzunce
Publication date: 11 May 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.02.001
copulaconvex orderdispersive orderpremium principlescomparison of variancesincreasing directionally convex functionsmultivariate distortions
Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Probability distributions: general theory (60E05)
Related Items
Stochastic Comparisons of Symmetric Supermodular Functions of Heterogeneous Random Vectors ⋮ Preservation of increasing convex/concave order under the formation of parallel/series system of dependent components ⋮ On the \(L_p\)-metric between a probability distribution and its distortion ⋮ Univariate and multivariate stochastic comparisons and ageing properties of the generalized Pólya process ⋮ Comparison of conditional distributions in portfolios of dependent risks
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Pricing of CDOs based on the multivariate Wang transform
- Comparing tail variabilities of risks by means of the excess wealth order
- The optimal reinsurance strategy -- the individual claim case
- Increasing directionally convex orderings of random vectors having the same copula, and their use in comparing ordered data
- Stochastic orders
- An extension of the Wang transform derived from Bühlmann's economic premium principle for insurance risk
- Characterizations of classes of risk measures by dispersive orders
- Optimal reinsurance policy: The adjustment coefficient and the expected utility criteria
- Actuarial risk measures for financial derivative pricing
- On the relationship of location-independent riskier order to the usual stochastic order
- Multivariate comonotonicity
- Multivariate stochastic dominance with fixed dependence structure
- Positively correlated normal variables are associated
- An introduction to copulas. Properties and applications
- A multivariate dispersion ordering based on quantiles more widely separated
- Stochastic comparisons of distorted variability measures
- On multivariate dispersion orderings based on the standard construction
- DEPENDENCE, DISPERSIVENESS, AND MULTIVARIATE HAZARD RATE ORDERING
- On the distortion of a copula and its margins
- Comparisons of series and parallel systems with components sharing the same copula
- A Multivariate Extension of Equilibrium Pricing Transforms: The Multivariate Esscher and Wang Transforms for Pricing Financial and Insurance Risks
- Choosing Between Risky Prospects: The Characterization of Comparative Statics Results, and Location Independent Risk
- Multivariate Convex Orderings, Dependence, and Stochastic Equality
- Two Variability Orders
- MULTIVARIATE DISPERSION ORDER AND THE NOTION OF COPULA APPLIED TO THE MULTIVARIATE t-DISTRIBUTION
- Association of Random Variables, with Applications
- Stochastic Comparison of Random Vectors with a Common Copula
- Ultramodular Functions
