Stochastic ordering of bivariate elliptical distributions

DOI10.1016/J.SPL.2005.08.016MaRDI QIDQ2489818zbMATH OpenOpenAlexFDO

Authors A. 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

zbMATH Keywords

Concordance orderConvex orderDependenceElliptical distributionsportfolio riskRisk managementstop-loss

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• An introduction to copulas. Properties and applications
• Comparison methods for stochastic models and risks
• scientific article; zbMATH DE number 605729 (Why is no real title available?)
• scientific article; zbMATH DE number 3354336 (Why is no real title available?)
• scientific article; zbMATH DE number 3400223 (Why is no real title available?)
• Some stochastic orders of Kotz-type distributions
• Stochastic ordering of multivariate normal distributions
• Tail Conditional Expectations for Elliptical Distributions
• The meta-elliptical distributions with given marginals

Cited in

(21)

• Two sufficient conditions for convex ordering on risk aggregation
• Hessian orderings of multivariate normal variance-mean mixture distributions and their applications in evaluating dependent multivariate risk portfolios
• Linear orderings of the scale mixtures of the multivariate skew-normal distribution
• Ordering results for elliptical distributions with applications to risk bounds
• Hessian and increasing-Hessian orderings of scale-shape mixtures of multivariate skew-normal distributions and applications
• Stochastic ordering of Gini indexes for multivariate elliptical risks
• Portfolio selection through an extremality stochastic order
• Stochastic orderings for elliptical random vectors
• Ordering Gini indexes of multivariate elliptical risks
• scientific article; zbMATH DE number 3847169 (Why is no real title available?)
• Stochastic orderings of multivariate elliptical distributions
• Comparison of the multivariate skew-normal random vectors based on the integral stochastic ordering
• K-combined random fields: Basic properties and stochastic orderings
• An identity for expectations and characteristic function of matrix variate skew-normal distribution with applications to associated stochastic orderings
• Generalized location-scale mixtures of elliptical distributions: Definitions and stochastic comparisons
• Hessian and increasing-Hessian orderings of multivariate skew-elliptical random vectors with applications in actuarial science
• Robust stochastic orders and applications to elliptical distributions under parametric ambiguity
• On some entropy and divergence type measures of variability and dependence for mixed continuous and discrete variables
• Beneficial changes in dependence structures and two-moment decision models
• Risk measurement in the presence of background risk
• Some results on the CTE-based capital allocation rule

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