Stochastic ordering of bivariate elliptical distributions

Zinoviy Landsman, Andreas Tsanakas

Research output: Contribution to journalArticlepeer-review


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 languageEnglish
Pages (from-to)488-494
Number of pages7
JournalStatistics and Probability Letters
Issue number5
StatePublished - 1 Mar 2006


  • Concordance order
  • Convex order
  • Dependence
  • Elliptical distributions
  • Risk management

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty


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