A characterization of the multivariate excess wealth ordering

DOI10.1016/J.INSMATHECO.2011.07.001zbMath1229.91254OpenAlexW2084028371MaRDI QIDQ654821

Franco Pellerey, J. M. Fernández-Ponce, M. R. Rodríguez-Griñolo

Publication date: 21 December 2011

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://idus.us.es/xmlui/handle/11441/44839

zbMATH Keywords

quantileexcess wealth functionexpansion functionmultivariate dispersion orderingupper-corrected orthant

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Stochastic models in economics (91B70)

Related Items (5)

On the second-order excess wealth order and its properties ⋮ On the invariant properties of notions of positive dependence and copulas under increasing transformations ⋮ Probability equivalent level for CoVaR and VaR ⋮ Multivariate Excess Wealth Ordering of Generalized Order Statistics ⋮ New multivariate aging notions based on the corrected orthant and the standard construction

Uses Software

• Linkages

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