Stochastic ordering of bivariate elliptical distributions

DOI10.1016/J.SPL.2005.08.016zbMATH Open1085.62059OpenAlexW3121887903MaRDI QIDQ2489818FDOQ2489818

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

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zbMATH Keywords

portfolio riskRisk managementConcordance orderDependenceElliptical distributionsstop-lossConvex order

Mathematics Subject Classification ID

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

Cites Work

• An introduction to copulas. Properties and applications
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• The meta-elliptical distributions with given marginals
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• Tail Conditional Expectations for Elliptical Distributions
• Comparison methods for stochastic models and risks
• Some stochastic orders of Kotz-type distributions
• Stochastic ordering of multivariate normal distributions
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Cited In (20)

• Two sufficient conditions for convex ordering on risk aggregation
• Stochastic orderings of multivariate elliptical distributions
• Title not available (Why is that?)
• Ordering results for elliptical distributions with applications to risk bounds
• Stochastic ordering of Gini indexes for multivariate elliptical risks
• Stochastic orderings for elliptical random vectors
• Generalized location-scale mixtures of elliptical distributions: Definitions and stochastic comparisons
• Beneficial changes in dependence structures and two-moment decision models
• K-combined random fields: Basic properties and stochastic orderings
• Some results on the CTE-based capital allocation rule
• An identity for expectations and characteristic function of matrix variate skew-normal distribution with applications to associated stochastic orderings
• Risk measurement in the presence of background risk
• Ordering Gini indexes of multivariate elliptical risks
• On some entropy and divergence type measures of variability and dependence for mixed continuous and discrete variables
• Hessian and increasing-Hessian orderings of multivariate skew-elliptical random vectors with applications in actuarial science
• Hessian and increasing-Hessian orderings of scale-shape mixtures of multivariate skew-normal distributions and applications
• Hessian orderings of multivariate normal variance-mean mixture distributions and their applications in evaluating dependent multivariate risk portfolios
• Comparison of the multivariate skew-normal random vectors based on the integral stochastic ordering
• Linear orderings of the scale mixtures of the multivariate skew-normal distribution
• Portfolio selection through an extremality stochastic order

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