Supermodular ordering of Poisson arrays

DOI10.1016/J.SPL.2014.12.021MaRDI QIDQ2018634zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3090535 (Why is no real title available?)
• Comparison methods for stochastic models and risks
• Comparison of semimartingales and Lévy processes
• Convex ordering for random vectors using predictable representation
• Dependence properties and comparison results for Lévy processes
• Interpolation, correlation identities, and inequalities for infinitely divisible variables
• Some remarks on the supermodular order
• Stochastic ordering of multivariate normal distributions
• Stop-loss order for portfolios of dependent risks
• The structure of multivariate Poisson distribution

Cited in

(2)

• Two sufficient conditions for convex ordering on risk aggregation
• scientific article; zbMATH DE number 7047643 (Why is no real title available?)

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