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Supermodular dependence ordering on a class of multivariate copulas

  • Wei, Gang
  • Hu, Taizhong
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    In most situations, the dependence monotonicities of copulas are checked by problem-specific approaches. Sometimes, it is impossible to check the monotonicities from the analytic forms of copulas. The purpose of this paper is to lay out some general results that can be used to identify dependence parameter(s) with respect to the supermodular dependence ordering for a parametric family of copulas constructed through mixing and limits. Special attention is paid to multivariate extreme value copulas, and some examples of applications are provided.

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    File URL: http://www.sciencedirect.com/science/article/B6V1D-460833B-3/2/36a36124c04621135c9219ba162b1f31
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    Article provided by Elsevier in its journal Statistics & Probability Letters.

    Volume (Year): 57 (2002)
    Issue (Month): 4 (May)
    Pages: 375-385

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    Handle: RePEc:eee:stapro:v:57:y:2002:i:4:p:375-385
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    1. Goovaerts, M. J. & Dhaene, J., 1999. "Supermodular ordering and stochastic annuities," Insurance: Mathematics and Economics, Elsevier, vol. 24(3), pages 281-290, May.
    2. Shaked, Moshe & Shanthikumar, J. George, 1997. "Supermodular Stochastic Orders and Positive Dependence of Random Vectors," Journal of Multivariate Analysis, Elsevier, vol. 61(1), pages 86-101, April.
    3. Müller, Alfred & Scarsini, Marco, 2000. "Some Remarks on the Supermodular Order," Journal of Multivariate Analysis, Elsevier, vol. 73(1), pages 107-119, April.
    4. Muller, Alfred, 1997. "Stop-loss order for portfolios of dependent risks," Insurance: Mathematics and Economics, Elsevier, vol. 21(3), pages 219-223, December.
    5. Joe, Harry, 1990. "Families of min-stable multivariate exponential and multivariate extreme value distributions," Statistics & Probability Letters, Elsevier, vol. 9(1), pages 75-81, January.
    6. Joe, Harry, 1990. "Multivariate concordance," Journal of Multivariate Analysis, Elsevier, vol. 35(1), pages 12-30, October.
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