Hessian orderings of multivariate normal variance-mean mixture distributions and their applications in evaluating dependent multivariate risk portfolios (Q2082471): Difference between revisions

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scientific article

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English	Hessian orderings of multivariate normal variance-mean mixture distributions and their applications in evaluating dependent multivariate risk portfolios	scientific article

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instance of

scholarly article

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title

Hessian orderings of multivariate normal variance-mean mixture distributions and their applications in evaluating dependent multivariate risk portfolios (English)

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author

Mehdi Amiri

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Abbas Eftekharian

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Narayanaswamy Balakrishnan

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published in

Statistical Methods and Applications

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publication date

4 October 2022

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zbMATH Keywords

convex cone

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Hessian order

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integral order

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linear order

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multivariate normal variance-mean mixture distribution

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order statistics

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portfolios

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reliability systems

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stop-loss order

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s10260-021-00610-5

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cites work

On the distributions of two classes of correlated aggregate claims

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Linear orderings of the scale mixtures of the multivariate skew-normal distribution

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Hessian orders and multinormal distributions

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An alternative multivariate skew-slash distribution

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Continuous Bivariate Distributions

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Normal Variance-Mean Mixtures and z Distributions

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Inequalities for stochastic models via supermodular orderings

0 references

Modeling and Comparing Dependencies in Multivariate Risk Portfolios

0 references

L-superadditive structure functions

0 references

Conditionally ordered distributions

0 references

The linear stochastic order and directed inference for multivariate ordered distributions

0 references

Smooth generators of integral stochastic orders.

0 references

On the dependency of risks in the individual life model

0 references

Q5810228

0 references

Understanding Relationships Using Copulas

0 references

Q4681954

0 references

Q3715120

0 references

Interpolation, correlation identities, and inequalities for infinitely divisible variables

0 references

Order statistics and their concomitants from multivariate normal mean–variance mixture distributions with application to Swiss Markets Data

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Multivariate concordance

0 references

Conditional tail risk measures for the skewed generalised hyperbolic family

0 references

Q4493303

0 references

Stochastic ordering of bivariate elliptical distributions

0 references

Q3316910

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Stochastic Orders Generated by Integrals: a Unified Study

0 references

Stop-loss order for portfolios of dependent risks

0 references

Stochastic ordering of multivariate normal distributions

0 references

Some remarks on the supermodular order

0 references

Stochastic Comparison of Random Vectors with a Common Copula

0 references

Q2778807

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Multivariate normal mean-variance mixture distribution based on Lindley distribution

0 references

Stochastic orderings for elliptical random vectors

0 references

Multivariate normal mean–variance mixture distribution based on Birnbaum–Saunders distribution

0 references

Discrimination among some parametric models

0 references

Comparison of multivariate risks and positive dependence

0 references

Multivariate Convex Orderings, Dependence, and Stochastic Equality

0 references

Q4301147

0 references

Q3281461

0 references

Recursive evaluation of aggregate claims distributions.

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Identifiers

DOI

10.1007/s10260-021-00610-5

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2082471

@@ Property / cites work @@
+On the distributions of two classes of correlated aggregate claims
+Normal rank
@@ Property / cites work @@
+Linear orderings of the scale mixtures of the multivariate skew-normal distribution
+Normal rank
@@ Property / cites work @@
+Hessian orders and multinormal distributions
@@ Property / cites work: Hessian orders and multinormal distributions / rank @@
+Normal rank
@@ Property / cites work @@
+An alternative multivariate skew-slash distribution
+Normal rank
@@ Property / cites work @@
+Continuous Bivariate Distributions
@@ Property / cites work: Continuous Bivariate Distributions / rank @@
+Normal rank
@@ Property / cites work @@
+Normal Variance-Mean Mixtures and z Distributions
@@ Property / cites work: Normal Variance-Mean Mixtures and z Distributions / rank @@
+Normal rank
@@ Property / cites work @@
+Inequalities for stochastic models via supermodular orderings
+Normal rank
@@ Property / cites work @@
+Modeling and Comparing Dependencies in Multivariate Risk Portfolios
+Normal rank
@@ Property / cites work @@
+L-superadditive structure functions
@@ Property / cites work: L-superadditive structure functions / rank @@
+Normal rank
@@ Property / cites work @@
+Conditionally ordered distributions
@@ Property / cites work: Conditionally ordered distributions / rank @@
+Normal rank
@@ Property / cites work @@
+The linear stochastic order and directed inference for multivariate ordered distributions
+Normal rank
@@ Property / cites work @@
+Smooth generators of integral stochastic orders.
@@ Property / cites work: Smooth generators of integral stochastic orders. / rank @@
+Normal rank
@@ Property / cites work @@
+On the dependency of risks in the individual life model
+Normal rank
@@ Property / cites work @@
+Q5810228
@@ Property / cites work: Q5810228 / rank @@
+Normal rank
@@ Property / cites work @@
+Understanding Relationships Using Copulas
@@ Property / cites work: Understanding Relationships Using Copulas / rank @@
+Normal rank
@@ Property / cites work @@
+Q4681954
@@ Property / cites work: Q4681954 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3715120
@@ Property / cites work: Q3715120 / rank @@
+Normal rank
@@ Property / cites work @@
+Interpolation, correlation identities, and inequalities for infinitely divisible variables
+Normal rank
@@ Property / cites work @@
+Order statistics and their concomitants from multivariate normal mean–variance mixture distributions with application to Swiss Markets Data
+Normal rank
@@ Property / cites work @@
+Multivariate concordance
@@ Property / cites work: Multivariate concordance / rank @@
+Normal rank
@@ Property / cites work @@
+Conditional tail risk measures for the skewed generalised hyperbolic family
+Normal rank
@@ Property / cites work @@
+Q4493303
@@ Property / cites work: Q4493303 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic ordering of bivariate elliptical distributions
+Normal rank
@@ Property / cites work @@
+Q3316910
@@ Property / cites work: Q3316910 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Orders Generated by Integrals: a Unified Study
+Normal rank
@@ Property / cites work @@
+Stop-loss order for portfolios of dependent risks
@@ Property / cites work: Stop-loss order for portfolios of dependent risks / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic ordering of multivariate normal distributions
+Normal rank
@@ Property / cites work @@
+Some remarks on the supermodular order
@@ Property / cites work: Some remarks on the supermodular order / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Comparison of Random Vectors with a Common Copula
+Normal rank
@@ Property / cites work @@
+Q2778807
@@ Property / cites work: Q2778807 / rank @@
+Normal rank
@@ Property / cites work @@
+Multivariate normal mean-variance mixture distribution based on Lindley distribution
+Normal rank
@@ Property / cites work @@
+Stochastic orderings for elliptical random vectors
+Normal rank
@@ Property / cites work @@
+Multivariate normal mean–variance mixture distribution based on Birnbaum–Saunders distribution
+Normal rank
@@ Property / cites work @@
+Discrimination among some parametric models
@@ Property / cites work: Discrimination among some parametric models / rank @@
+Normal rank
@@ Property / cites work @@
+Comparison of multivariate risks and positive dependence
+Normal rank
@@ Property / cites work @@
+Multivariate Convex Orderings, Dependence, and Stochastic Equality
+Normal rank
@@ Property / cites work @@
+Q4301147
@@ Property / cites work: Q4301147 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3281461
@@ Property / cites work: Q3281461 / rank @@
+Normal rank
@@ Property / cites work @@
+Recursive evaluation of aggregate claims distributions.
+Normal rank