Comparison of aggregation, minimum and maximum of two risky portfolios with dependent claims (Q2181729): Difference between revisions

The authors consider two risky portfolios with dependent claims whose dependencies are modeled by Archimedean copulas and compare the aggregation and minimum of these portfolios. The main results are related to stochastic ordering based on Laplace transform. Laplace transform ordering has many applications in several fields such as actuarial sciences, economics, queueing theory, autoregressive processes and reliability. The authors compare also the maxima of two interdependent portfolios by the usual stochastic order (convex order; increasing convex order; stop-loss order).