Ordering risk bounds in factor models
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Publication:2283650
DOI10.1515/demo-2018-0015zbMath1434.62076OpenAlexW2901106594MaRDI QIDQ2283650
Jonathan Ansari, Ludger Rüschendorf
Publication date: 13 January 2020
Published in: Dependence Modeling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/demo-2018-0015
elliptical distributionsArchimedean copulasrisk boundssupermodular orderingconditionally comonotonic distributionsmass transfer theoryproducts of copulas
Applications of statistics to economics (62P20) Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05)
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Supermodular and directionally convex comparison results for general factor models, Copula modeling from Abe Sklar to the present day, Ordering results for elliptical distributions with applications to risk bounds, Sklar's theorem, copula products, and ordering results in factor models
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