A characterization of the multivariate excess wealth ordering
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DOI: 10.1016/j.insmatheco.2011.07.001
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- Cai, Jun & Wei, Wei, 2012. "On the invariant properties of notions of positive dependence and copulas under increasing transformations," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 43-49.
- Ortega-Jiménez, Patricia & Pellerey, Franco & Sordo, Miguel A. & Suárez-Llorens, Alfonso, 2024. "Probability equivalent level for CoVaR and VaR," Insurance: Mathematics and Economics, Elsevier, vol. 115(C), pages 22-35.
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Keywords
Excess wealth function; Expansion function; Multivariate dispersion ordering; Quantile; Upper-corrected orthant;All these keywords.
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