A characterization of the multivariate excess wealth ordering

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 studie...

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Detalles Bibliográficos
Autores: Fernández Ponce, José María, Pellerey, Franco, Rodríguez Griñolo, María del Rosario
Tipo de recurso: artículo
Estado:Versión enviada para evaluación y publicación
Fecha de publicación:2011
País:España
Institución:Universidad de Sevilla (US)
Repositorio:idUS. Depósito de Investigación de la Universidad de Sevilla
OAI Identifier:oai:idus.us.es:11441/44839
Acceso en línea:http://hdl.handle.net/11441/44839
https://doi.org/10.1016/j.insmatheco.2011.07.001
Access Level:acceso abierto
Palabra clave:Excess wealth function
Expansion function
Multivariate dispersion ordering
Quantile
Upper-corrected orthant
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spelling A characterization of the multivariate excess wealth orderingFernández Ponce, José MaríaPellerey, FrancoRodríguez Griñolo, María del RosarioExcess wealth functionExpansion functionMultivariate dispersion orderingQuantileUpper-corrected orthantIn 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.ElsevierEstadística e Investigación OperativaFQM328: Metodos Cuantitativos en Evaluacion2011info:eu-repo/semantics/articleinfo:eu-repo/semantics/submittedVersionapplication/pdfapplication/pdfhttp://hdl.handle.net/11441/44839https://doi.org/10.1016/j.insmatheco.2011.07.001reponame:idUS. Depósito de Investigación de la Universidad de Sevillainstname:Universidad de Sevilla (US)InglésInsurance: Mathematics and Economics, 49 (3), 410-417.http://ac.els-cdn.com/S0167668711000783/1-s2.0-S0167668711000783-main.pdf?_tid=672ad5ce-765c-11e6-a703-00000aab0f6b&acdnat=1473405172_50974cd6f4839a2676c14aa1de0f6406info:eu-repo/semantics/openAccessoai:idus.us.es:11441/448392026-06-17T12:51:07Z
dc.title.none.fl_str_mv A characterization of the multivariate excess wealth ordering
title A characterization of the multivariate excess wealth ordering
spellingShingle A characterization of the multivariate excess wealth ordering
Fernández Ponce, José María
Excess wealth function
Expansion function
Multivariate dispersion ordering
Quantile
Upper-corrected orthant
title_short A characterization of the multivariate excess wealth ordering
title_full A characterization of the multivariate excess wealth ordering
title_fullStr A characterization of the multivariate excess wealth ordering
title_full_unstemmed A characterization of the multivariate excess wealth ordering
title_sort A characterization of the multivariate excess wealth ordering
dc.creator.none.fl_str_mv Fernández Ponce, José María
Pellerey, Franco
Rodríguez Griñolo, María del Rosario
author Fernández Ponce, José María
author_facet Fernández Ponce, José María
Pellerey, Franco
Rodríguez Griñolo, María del Rosario
author_role author
author2 Pellerey, Franco
Rodríguez Griñolo, María del Rosario
author2_role author
author
dc.contributor.none.fl_str_mv Estadística e Investigación Operativa
FQM328: Metodos Cuantitativos en Evaluacion
dc.subject.none.fl_str_mv Excess wealth function
Expansion function
Multivariate dispersion ordering
Quantile
Upper-corrected orthant
topic Excess wealth function
Expansion function
Multivariate dispersion ordering
Quantile
Upper-corrected orthant
description 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.
publishDate 2011
dc.date.none.fl_str_mv 2011
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/submittedVersion
format article
status_str submittedVersion
dc.identifier.none.fl_str_mv http://hdl.handle.net/11441/44839
https://doi.org/10.1016/j.insmatheco.2011.07.001
url http://hdl.handle.net/11441/44839
https://doi.org/10.1016/j.insmatheco.2011.07.001
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.relation.none.fl_str_mv Insurance: Mathematics and Economics, 49 (3), 410-417.
http://ac.els-cdn.com/S0167668711000783/1-s2.0-S0167668711000783-main.pdf?_tid=672ad5ce-765c-11e6-a703-00000aab0f6b&acdnat=1473405172_50974cd6f4839a2676c14aa1de0f6406
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv Elsevier
publisher.none.fl_str_mv Elsevier
dc.source.none.fl_str_mv reponame:idUS. Depósito de Investigación de la Universidad de Sevilla
instname:Universidad de Sevilla (US)
instname_str Universidad de Sevilla (US)
reponame_str idUS. Depósito de Investigación de la Universidad de Sevilla
collection idUS. Depósito de Investigación de la Universidad de Sevilla
repository.name.fl_str_mv
repository.mail.fl_str_mv
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