Notions of multivariate dependence and their applications in optimal portfolio selections with dependent risks

DOI10.1016/j.jmva.2014.12.011zbMath1321.60026OpenAlexW2017675235MaRDI QIDQ2350045

Jun Cai, Wei Wei

Publication date: 18 June 2015

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2014.12.011

zbMATH Keywords

stochastic orderportfolio selectionarrangement increasingdependence notiondefault risk modelmixture risk modelweakly stochastic arrangement increasing

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Portfolio theory (91G10)

Related Items (31)

Stochastic comparisons on total capacity of weighted k-out-of-n systems with heterogeneous components ⋮ On capital allocation for stochastic arrangement increasing actuarial risks ⋮ A new proof for the peakedness of linear combinations of random variables ⋮ On coverage limits and deductibles for SAI loss severities ⋮ On allocations to portfolios of assets with statistically dependent potential risk returns ⋮ ON HETEROGENEITY IN THE INDIVIDUAL MODEL WITH BOTH DEPENDENT CLAIM OCCURRENCES AND SEVERITIES ⋮ Joint stochastic orders of high degrees and their applications in portfolio selections ⋮ Ordering results for individual risk model with dependent Location-Scale claim severities ⋮ A count-based nonparametric test on strict bivariate Stochastic arrangement increasing property ⋮ Ordering the largest claim amounts and ranges from two sets of heterogeneous portfolios ⋮ Ordering optimal deductible allocations for stochastic arrangement increasing risks ⋮ Preservation of WSAI under default transforms and its application in allocating assets with dependent realizable returns ⋮ On active redundancy allocation for coherent systems -- from the viewpoint of minimal cut decomposition ⋮ Preservation of weak stochastic arrangement increasing under fixed time left-censoring ⋮ Stochastic comparisons of the largest claim amounts from two sets of interdependent heterogeneous portfolios ⋮ Stochastic comparisons of largest claim amount from heterogeneous and dependent insurance portfolios ⋮ ON WEIGHTED K-OUT-OF-N SYSTEMS WITH STATISTICALLY DEPENDENT COMPONENT LIFETIMES ⋮ Optimal allocation of policy limits in layer reinsurance treaties ⋮ Stochastic comparison on active redundancy allocation to K-out-of-N systems with statistically dependent component and redundancy lifetimes ⋮ ORDERING PROPERTIES OF EXTREME CLAIM AMOUNTS FROM HETEROGENEOUS PORTFOLIOS ⋮ Functional characterizations of bivariate weak SAI with an application ⋮ Ordering k-out-of-n systems with interdependent components and one active redundancy ⋮ Preservation of weak SAI's under increasing transformations with applications ⋮ Comparisons of aggregate claim numbers and amounts: a study of heterogeneity ⋮ Increasing convex order on generalized aggregation of SAI random variables with applications ⋮ Ordering scalar products with applications in financial engineering and actuarial science ⋮ Single machine scheduling with stochastically dependent times ⋮ Sufficient conditions for ordering aggregate heterogeneous random claim amounts ⋮ On asset allocation for a threshold model with dependent returns ⋮ On redundant weighted voting systems with components having stochastic arrangement increasing lifetimes ⋮ On the increasing convex order of generalized aggregation of dependent random variables

Uses Software

• CopulaModel

Cites Work

• Unnamed Item
• CopulaModel
• Some new notions of dependence with applications in optimal allocation problems
• Stochastic orders
• Asset proportions in optimal portfolios with dependent default risks
• Optimal allocation of policy limits and deductibles in a model with mixture risks and discount factors
• The concept of comonotonicity in actuarial science and finance: theory.
• Archimedean copulae and positive dependence
• Demand for risky financial assets: A portfolio analysis
• A note on allocation of portfolio shares of random assets with Archimedean copula
• Ordering optimal proportions in the asset allocation problem with dependent default risks
• Optimal capital allocations to interdependent actuarial risks
• Dependence Modeling with Copulas
• Asset Proportions in Optimal Portfolios
• Bivariate characterization of some stochastic order relations
• PORTFOLIO SELECTION PROBLEMS VIA THE BIVARIATE CHARACTERIZATION OF STOCHASTIC DOMINANCE RELATIONS
• The Use of Archimedean Copulas to Model Portfolio Allocations
• Permutation Monotone Functions of Random Vectors with Applications in Financial and Actuarial Risk Management
• Ordering of Optimal Portfolio Allocations in a Model with a Mixture of Fundamental Risks

This page was built for publication: Notions of multivariate dependence and their applications in optimal portfolio selections with dependent risks