Stochastic ordering of bivariate elliptical distributions

Zinoviy Landsman; Andreas Tsanakas

doi:10.1016/j.spl.2005.08.016

Stochastic ordering of bivariate elliptical distributions

Zinoviy Landsman, Andreas Tsanakas

Department of Statistics

Research output: Contribution to journal › Article › peer-review

Abstract

It is shown that for elliptically distributed bivariate random vectors, the riskiness and dependence strength of random portfolios, in the sense of the univariate convex and bivariate concordance stochastic orders respectively, can be simply characterised in terms of the vector's Σ-matrix.

Original language	English
Pages (from-to)	488-494
Number of pages	7
Journal	Statistics and Probability Letters
Volume	76
Issue number	5
DOIs	https://doi.org/10.1016/j.spl.2005.08.016
State	Published - 1 Mar 2006

Keywords

Concordance order
Convex order
Dependence
Elliptical distributions
Risk management

ASJC Scopus subject areas

Statistics and Probability
Statistics, Probability and Uncertainty

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10.1016/j.spl.2005.08.016

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title = "Stochastic ordering of bivariate elliptical distributions",

abstract = "It is shown that for elliptically distributed bivariate random vectors, the riskiness and dependence strength of random portfolios, in the sense of the univariate convex and bivariate concordance stochastic orders respectively, can be simply characterised in terms of the vector's Σ-matrix.",

keywords = "Concordance order, Convex order, Dependence, Elliptical distributions, Risk management",

author = "Zinoviy Landsman and Andreas Tsanakas",

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AU - Tsanakas, Andreas

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AB - It is shown that for elliptically distributed bivariate random vectors, the riskiness and dependence strength of random portfolios, in the sense of the univariate convex and bivariate concordance stochastic orders respectively, can be simply characterised in terms of the vector's Σ-matrix.

KW - Concordance order

KW - Convex order

KW - Dependence

KW - Elliptical distributions

KW - Risk management

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DO - 10.1016/j.spl.2005.08.016

M3 - Article

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EP - 494

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

IS - 5

ER -

Stochastic ordering of bivariate elliptical distributions

Abstract

Keywords

ASJC Scopus subject areas

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