Ordering results for elliptical distributions with applications to risk bounds
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Publication:2222233
DOI10.1016/J.JMVA.2020.104709zbMATH Open1453.60046OpenAlexW3110789111MaRDI QIDQ2222233FDOQ2222233
Authors: Jonathan Ansari, Ludger Rüschendorf 
Publication date: 26 January 2021
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2020.104709
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- On bivariate order statistics from elliptical distributions
elliptically contoured distributionspartial correlationsrisk boundssupermodular orderingcanonical vinedirectionally convex ordering
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Cited In (10)
- Ordering risk bounds in partially specified factor models
- Stochastic ordering of Gini indexes for multivariate elliptical risks
- Generalized location-scale mixtures of elliptical distributions: Definitions and stochastic comparisons
- Ordering results for risk bounds and cost-efficient payoffs in partially specified risk factor models
- An identity for expectations and characteristic function of matrix variate skew-normal distribution with applications to associated stochastic orderings
- Copula modeling from Abe Sklar to the present day
- Supermodular and directionally convex comparison results for general factor models
- Hessian and increasing-Hessian orderings of multivariate skew-elliptical random vectors with applications in actuarial science
- Stochastic ordering of bivariate elliptical distributions
- Exchangeable FGM copulas
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