Hessian and increasing-Hessian orderings of scale-shape mixtures of multivariate skew-normal distributions and applications

DOI10.1016/j.cam.2021.113801zbMath1475.60041OpenAlexW3197440567MaRDI QIDQ2237920

Mehdi Amiri, Narayanaswamy Balakrishnan

Publication date: 28 October 2021

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2021.113801

zbMATH Keywords

convex coneportfolioscorrelation orderstop-loss orderHessian orderscale-shape mixture of skew-normal

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Reliability and life testing (62N05)

Related Items (2)

Stochastic representations and probabilistic characteristics of multivariate skew-elliptical distributions ⋮ An overview on the progeny of the skew-normal family -- a personal perspective

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