IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v50y2000i3p265-271.html

Random vectors with HNBUE-type marginal distributions

Author

Listed:
  • Pellerey, Franco

Abstract

The problem of the preservation of non-parametric life distributions classes under addition of life lengths has been extensively studied in literature. In literature, however, independence among the random life lengths is often assumed. Here we show that for the HNBUE life distributions class (and for some other larger classes) this preservation property can be extended to non-independent summands, and, as a consequence, that convergence in law is equivalent to moment convergence within the family of random vectors with marginals in these classes. Related results, with an application in portfolio choice theory, are shown too.

Suggested Citation

  • Pellerey, Franco, 2000. "Random vectors with HNBUE-type marginal distributions," Statistics & Probability Letters, Elsevier, vol. 50(3), pages 265-271, November.
    • Handle: RePEc:eee:stapro:v:50:y:2000:i:3:p:265-271
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-7152(00)00102-4
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    References listed on IDEAS

    as
    1. Hadar, Josef & Russell, William R., 1971. "Stochastic dominance and diversification," Journal of Economic Theory, Elsevier, vol. 3(3), pages 288-305, September.
    2. Masaaki Kijima & Masamitsu Ohnishi, 1996. "Portfolio Selection Problems Via The Bivariate Characterization Of Stochastic Dominance Relations1," Mathematical Finance, Wiley Blackwell, vol. 6(3), pages 237-277, July.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Li, Xiaohu & Lin, Jianhua, 2011. "Stochastic orders in time transformed exponential models with applications," Insurance: Mathematics and Economics, Elsevier, vol. 49(1), pages 47-52, July.
    2. F. Belzunce & J. Pinar & J. Ruiz, 2005. "On testing the dilation order and HNBUE alternatives," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 57(4), pages 803-815, December.
    3. Pavlova, Kristina P. & Cai, Jun & Willmot, Gordon E., 2006. "The preservation of classes of discrete distributions under convolution and mixing," Insurance: Mathematics and Economics, Elsevier, vol. 38(2), pages 391-405, April.
    4. Mulero, Julio & Pellerey, Franco & Rodríguez-Griñolo, Rosario, 2010. "Stochastic comparisons for time transformed exponential models," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 328-333, April.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Franco Pellerey & Patrizia Semeraro, 2005. "A Note on the Portfolio Selection Problem," Theory and Decision, Springer, vol. 59(4), pages 295-306, December.
    2. Raymond H. Chan & Ephraim Clark & Xu Guo & Wing-Keung Wong, 2020. "New development on the third-order stochastic dominance for risk-averse and risk-seeking investors with application in risk management," Risk Management, Palgrave Macmillan, vol. 22(2), pages 108-132, June.
    3. Junyi Chai & Zhiquan Weng & Wenbin Liu, 2021. "Behavioral Decision Making in Normative and Descriptive Views: A Critical Review of Literature," JRFM, MDPI, vol. 14(10), pages 1-14, October.
    4. Dinlersoz, Emin & Greenwood, Jeremy & Hyatt, Henry R., 2014. "Who Do Unions Target? Unionization over the Life-Cycle of U.S. Businesses," IZA Discussion Papers 8416, Institute of Labor Economics (IZA).
    5. Jeremy Greenwood & Nezih Guner & Karen A. Kopecky, 2019. "The Wife's Protector: A Quantitative Theory Linking Contraceptive Technology with the Decline in Marriage," Working Papers wp2019_1912, CEMFI.
    6. Guo, Xu & Wong, Wing-Keung, 2016. "Multivariate Stochastic Dominance for Risk Averters and Risk Seekers," MPRA Paper 70637, University Library of Munich, Germany.
    7. Li, Chen & Li, Xiaohu, 2021. "On stochastic dependence in residual lifetime and inactivity time with some applications," Statistics & Probability Letters, Elsevier, vol. 177(C).
    8. David P. Baron, 1973. "Default Risk, Homemade Leverage and the Modigliani-Miller Theorem," Discussion Papers 31, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    9. Emin Dinlersoz & Jeremy Greenwood & Henry Hyatt, 2017. "What Businesses Attract Unions? Unionization over the Life Cycle of U.S. Establishments," ILR Review, Cornell University, ILR School, vol. 70(3), pages 733-766, May.
    10. Chan, Raymond H. & Clark, Ephraim & Wong, Wing-Keung, 2012. "On the Third Order Stochastic Dominance for Risk-Averse and Risk-Seeking Investors," MPRA Paper 42676, University Library of Munich, Germany.
    11. Inui, Koji & Kijima, Masaaki & Kitano, Atsushi, 2005. "VaR is subject to a significant positive bias," Statistics & Probability Letters, Elsevier, vol. 72(4), pages 299-311, May.
    12. Kräkel, Matthias, 2007. "Limited Liability and the Trade-off between Risk and Incentives," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems 201, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich.
    13. José Wynne, 2005. "Wealth as a Determinant of Comparative Advantage," American Economic Review, American Economic Association, vol. 95(1), pages 226-254, March.
    14. Takao Asano & Yusuke Osaki, 2017. "Portfolio Allocation Problems between Risky Ambiguous Assets," KIER Working Papers 975, Kyoto University, Institute of Economic Research.
    15. Trabelsi, Mohamed Ali, 2010. "Choix de portefeuille: comparaison des différentes stratégies [Portfolio selection: comparison of different strategies]," MPRA Paper 82946, University Library of Munich, Germany, revised 01 Dec 2010.
    16. W. Wong & R. Chan, 2008. "Prospect and Markowitz stochastic dominance," Annals of Finance, Springer, vol. 4(1), pages 105-129, January.
    17. Iwaki, Hideki & Kijima, Masaaki & Morimoto, Yuji, 2001. "An economic premium principle in a multiperiod economy," Insurance: Mathematics and Economics, Elsevier, vol. 28(3), pages 325-339, June.
    18. Takashi Kamihigashi & John Stachurski, 2014. "Partial Stochastic Dominance," Working Papers 2014-403, Department of Research, Ipag Business School.
    19. Raymond H. Chan & Xu Guo & Ephraim Clark & Wing-Keung Wong, 2020. "New Development on the Third Order Stochastic Dominance for Risk-Averse and Risk-Seeking Investors with Application in Risk Management," Economic Growth Centre Working Paper Series 2002, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
    20. Dominic Gasbarro & Wing-Keung Wong & J. Kenton Zumwalt, 2007. "Stochastic Dominance Analysis of iShares," The European Journal of Finance, Taylor & Francis Journals, vol. 13(1), pages 89-101.

    More about this item

    Keywords

    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:50:y:2000:i:3:p:265-271. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.