Supermodular ordering of Poisson arrays

DOI10.1016/J.SPL.2014.12.021zbMATH Open1321.60029OpenAlexW2014949718MaRDI QIDQ2018634FDOQ2018634

Authors: Bünyamin Kızıldemir, Nicolas Privault 

Publication date: 24 March 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10220/25440

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zbMATH Keywords

Poisson distributionstochastic orderingjump-diffusion modelssupermodular functionsinfinitely divisible random vectors

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Measures of association (correlation, canonical correlation, etc.) (62H20) Inequalities; stochastic orderings (60E15) Financial applications of other theories (91G80)

Cites Work

• Comparison methods for stochastic models and risks
• Stochastic ordering of multivariate normal distributions
• The structure of multivariate Poisson distribution
• Some remarks on the supermodular order
• Stop-loss order for portfolios of dependent risks
• Interpolation, correlation identities, and inequalities for infinitely divisible variables
• Convex ordering for random vectors using predictable representation
• Comparison of semimartingales and Lévy processes
• Title not available (Why is that?)
• Dependence properties and comparison results for Lévy processes

Cited In (2)

• Two sufficient conditions for convex ordering on risk aggregation
• Title not available (Why is that?)

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