Permutation Monotone Functions of Random Vectors with Applications in Financial and Actuarial Risk Management (Q5246181): Difference between revisions

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scientific article; zbMATH DE number 6427247

Language	Label	Description	Also known as
English	Permutation Monotone Functions of Random Vectors with Applications in Financial and Actuarial Risk Management	scientific article; zbMATH DE number 6427247

Statements

instance of

scholarly article

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title

Permutation Monotone Functions of Random Vectors with Applications in Financial and Actuarial Risk Management (English)

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Advances in Applied Probability

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publication date

17 April 2015

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full work available at URL

https://projecteuclid.org/euclid.aap/1427814591

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zbMATH Keywords

Archimedean copula

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arrangement increasing

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deductible

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distortion measure

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stochastic order

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upper limit

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utility function

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MaRDI profile type

MaRDI publication profile

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cites work

Q4158362

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Multivariate arrangement increasing functions with applications in probability and statistics

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Moment and geometric probability inequalities arising from arrangement increasing functions

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Asset proportions in optimal portfolios with dependent default risks

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Optimal portfolio problem with unknown dependency structure

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Optimal allocation of policy limits and deductibles

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Ordering optimal proportions in the asset allocation problem with dependent default risks

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Q5461830

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Risk Measures and Comonotonicity: A Review

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Relationships Among Some Concepts of Bivariate Dependence

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Optimal pricing for a heterogeneous portfolio for a given risk factor and convex distance measure

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Weighted risk capital allocations

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Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données

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Statistical Inference Procedures for Bivariate Archimedean Copulas

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The Use of Archimedean Copulas to Model Portfolio Allocations

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Functions decreasing in transposition and their applications in ranking problems

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Stochastic orders of scalar products with applications

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Worst allocations of policy limits and deductibles

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Q4382161

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PORTFOLIO SELECTION PROBLEMS VIA THE BIVARIATE CHARACTERIZATION OF STOCHASTIC DOMINANCE RELATIONS

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A probabilistic interpretation of complete monotonicity

0 references

An optimization approach to the dynamic allocation of economic capital

0 references

Demand for risky financial assets: A portfolio analysis

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Tail Conditional Expectations for Elliptical Distributions

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Dependence Comparison of Multivariate Extremes via Stochastic Tail Orders

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A note on allocation of portfolio shares of random assets with Archimedean copula

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Stochastic comparisons for allocations of policy limits and deductibles with applications

0 references

Families of Multivariate Distributions

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Inequalities: theory of majorization and its applications

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Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions

0 references

Q5706744

0 references

Q2778807

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An introduction to copulas.

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Q4301147

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Dynamic capital allocation with distortion risk measures

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To split or not to split: Capital allocation with convex risk measures

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Stochastic comparisons of capital allocations with applications

0 references

Optimal allocation of policy limits and deductibles under distortion risk measures

0 references

Identifiers

zbMATH Open document ID

1311.91128

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DOI

10.1239/aap/1427814591

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5246181

@@ Property / cites work @@
+Q4158362
@@ Property / cites work: Q4158362 / rank @@
+Normal rank
@@ Property / cites work @@
+Multivariate arrangement increasing functions with applications in probability and statistics
+Normal rank
@@ Property / cites work @@
+Moment and geometric probability inequalities arising from arrangement increasing functions
+Normal rank
@@ Property / cites work @@
+Asset proportions in optimal portfolios with dependent default risks
+Normal rank
@@ Property / cites work @@
+Optimal portfolio problem with unknown dependency structure
+Normal rank
@@ Property / cites work @@
+Optimal allocation of policy limits and deductibles
+Normal rank
@@ Property / cites work @@
+Ordering optimal proportions in the asset allocation problem with dependent default risks
+Normal rank
@@ Property / cites work @@
+Q5461830
@@ Property / cites work: Q5461830 / rank @@
+Normal rank
@@ Property / cites work @@
+Risk Measures and Comonotonicity: A Review
@@ Property / cites work: Risk Measures and Comonotonicity: A Review / rank @@
+Normal rank
@@ Property / cites work @@
+Relationships Among Some Concepts of Bivariate Dependence
+Normal rank
@@ Property / cites work @@
+Optimal pricing for a heterogeneous portfolio for a given risk factor and convex distance measure
+Normal rank
@@ Property / cites work @@
+Weighted risk capital allocations
@@ Property / cites work: Weighted risk capital allocations / rank @@
+Normal rank
@@ Property / cites work @@
+Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données
+Normal rank
@@ Property / cites work @@
+Statistical Inference Procedures for Bivariate Archimedean Copulas
+Normal rank
@@ Property / cites work @@
+The Use of Archimedean Copulas to Model Portfolio Allocations
+Normal rank
@@ Property / cites work @@
+Functions decreasing in transposition and their applications in ranking problems
+Normal rank
@@ Property / cites work @@
+Stochastic orders of scalar products with applications
+Normal rank
@@ Property / cites work @@
+Worst allocations of policy limits and deductibles
+Normal rank
@@ Property / cites work @@
+Q4382161
@@ Property / cites work: Q4382161 / rank @@
+Normal rank
@@ Property / cites work @@
+PORTFOLIO SELECTION PROBLEMS VIA THE BIVARIATE CHARACTERIZATION OF STOCHASTIC DOMINANCE RELATIONS
+Normal rank
@@ Property / cites work @@
+A probabilistic interpretation of complete monotonicity
+Normal rank
@@ Property / cites work @@
+An optimization approach to the dynamic allocation of economic capital
+Normal rank
@@ Property / cites work @@
+Demand for risky financial assets: A portfolio analysis
+Normal rank
@@ Property / cites work @@
+Tail Conditional Expectations for Elliptical Distributions
+Normal rank
@@ Property / cites work @@
+Dependence Comparison of Multivariate Extremes via Stochastic Tail Orders
+Normal rank
@@ Property / cites work @@
+A note on allocation of portfolio shares of random assets with Archimedean copula
+Normal rank
@@ Property / cites work @@
+Stochastic comparisons for allocations of policy limits and deductibles with applications
+Normal rank
@@ Property / cites work @@
+Families of Multivariate Distributions
@@ Property / cites work: Families of Multivariate Distributions / rank @@
+Normal rank
@@ Property / cites work @@
+Inequalities: theory of majorization and its applications
+Normal rank
@@ Property / cites work @@
+Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
+Normal rank
@@ Property / cites work @@
+Q5706744
@@ Property / cites work: Q5706744 / rank @@
+Normal rank
@@ Property / cites work @@
+Q2778807
@@ Property / cites work: Q2778807 / rank @@
+Normal rank
@@ Property / cites work @@
+An introduction to copulas.
@@ Property / cites work: An introduction to copulas. / rank @@
+Normal rank
@@ Property / cites work @@
+Q4301147
@@ Property / cites work: Q4301147 / rank @@
+Normal rank
@@ Property / cites work @@
+Dynamic capital allocation with distortion risk measures
+Normal rank
@@ Property / cites work @@
+To split or not to split: Capital allocation with convex risk measures
+Normal rank
@@ Property / cites work @@
+Stochastic comparisons of capital allocations with applications
+Normal rank
@@ Property / cites work @@
+Optimal allocation of policy limits and deductibles under distortion risk measures
+Normal rank