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A characterization of the multivariate excess wealth ordering

 

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Author: Fernández Ponce, José María
Pellerey, Franco
Rodríguez Griñolo, María del Rosario
Department: Universidad de Sevilla. Departamento de Estadística e Investigación Operativa
Date: 2011-11
Published in: Insurance: Mathematics and Economics, 49 (3), 410-417.
Document type: Article
Abstract: In this paper, some new properties of the upper-corrected orthant of a random vector are proved. The univariate rightspread or excess wealth function, introduced by Fernández-Ponce et al. (1996), is extended to multivariate random vectors, and some properties of this multivariate function are studied. Later, this function was used to define the excess wealth ordering by Shaked and Shanthikumar (1998) and Fernández-Ponce et al. (1998). The multivariate excess wealth function enable us to define a new stochastic comparison which is weaker than the multivariate dispersion orderings. Also, some properties relating the multivariate excess wealth order with stochastic dependence are described.
Cite: Fernández Ponce, J.M., Pellerey, F. y Rodríguez Griñolo, M.d.R. (2011). A characterization of the multivariate excess wealth ordering. Insurance: Mathematics and Economics, 49 (3), 410-417.
Size: 136.9Kb
Format: PDF

URI: http://hdl.handle.net/11441/44839

DOI: 10.1016/j.insmatheco.2011.07.001

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