Stochastic ordering of Gini indexes for multivariate elliptical risks

DOI10.1016/j.insmatheco.2019.07.002zbMath1425.91227OpenAlexW2961406890MaRDI QIDQ2273985

Bara Kim, Jeongsim Kim

Publication date: 19 September 2019

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2019.07.002

zbMATH Keywords

large deviationusual stochastic orderGini indexpositive semi-definiteelliptical distribution

Mathematics Subject Classification ID

Related Items (1)

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

Uses Software

• QRM

Cites Work

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• Ordering Gini indexes of multivariate elliptical risks
• Decision principles derived from risk measures
• Stochastic orders
• Ordering risks: expected utility theory versus Yaari's dual theory of risk
• Summarizing Insurance Scores Using a Gini Index
• NestedL-statistics and their use in comparing the riskiness of portfolios
• A semi-parametric approach to risk management
• The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance

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