Stochastic ordering of bivariate elliptical distributions
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Publication:2489818
DOI10.1016/j.spl.2005.08.016zbMath1085.62059OpenAlexW3121887903MaRDI QIDQ2489818
Andreas Tsanakas, Zinoviy Landsman
Publication date: 28 April 2006
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://openaccess.city.ac.uk/id/eprint/5990/1/LandsmanTsanakas2006.pdf
Risk managementportfolio riskConcordance orderDependenceElliptical distributionsstop-lossConvex order
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Cites Work
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- The meta-elliptical distributions with given marginals
- An introduction to copulas. Properties and applications
- Some stochastic orders of Kotz-type distributions
- Tail Conditional Expectations for Elliptical Distributions
- Stochastic ordering of multivariate normal distributions
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