Comparison of multivariate risks and positive dependence

DOI10.1239/jap/1082999074zbMath1049.62060OpenAlexW1499101402MaRDI QIDQ4819466

Ludger Rüschendorf

Publication date: 24 September 2004

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/a075bfd809cd73ee08854f15921216916d421606

zbMATH Keywords

positive dependenceFréchet boundsupermodular orderingrisk vector

Mathematics Subject Classification ID

Related Items (24)

VaR bounds in models with partial dependence information on subgroups ⋮ How retention levels influence the variability of the total risk under reinsurance ⋮ Two sufficient conditions for convex ordering on risk aggregation ⋮ Detection of arbitrage opportunities in multi-asset derivatives markets ⋮ CONVEX COMPARISONS FOR RANDOM SUMS IN RANDOM ENVIRONMENTS AND APPLICATIONS ⋮ Risk Bounds and Partial Dependence Information ⋮ Worst case risk measurement: back to the future? ⋮ A characterization of the multivariate excess wealth ordering ⋮ Multivariate Shortfall Risk Allocation and Systemic Risk ⋮ A Note on the Relations Between Some Concepts of Positive Dependence ⋮ VARIABILITY FOR CARRIER-BORNE EPIDEMICS AND REED–FROST MODELS INCORPORATING UNCERTAINTIES AND DEPENDENCIES FROM SUSCEPTIBLES AND INFECTIVES ⋮ Worst case portfolio vectors and diversification effects ⋮ Consistent risk measures for portfolio vectors ⋮ Dependence ordering for Markov processes on partially ordered spaces ⋮ Risk Measures for Portfolio Vectors and Allocation of Risks ⋮ Extremal dependence concepts ⋮ On negative association of some finite point processes on general state spaces ⋮ Increasing directionally convex orderings of random vectors having the same copula, and their use in comparing ordered data ⋮ Variability comparisons for some mixture models with stochastic environments in biosciences and engineering ⋮ Multivariate comonotonicity ⋮ Hessian orderings of multivariate normal variance-mean mixture distributions and their applications in evaluating dependent multivariate risk portfolios ⋮ Reducing model risk via positive and negative dependence assumptions ⋮ Pricing CDOs with state-dependent stochastic recovery rates ⋮ General Marshall–Olkin Models, Dependence Orders, and Comparisons of Environmental Processes

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