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On the correlation order

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  • Yi, Zhang
  • Weng, Chengguo

Abstract

Recently a new multiple dimensional stochastic order named correlation order was proposed to examine how the dependence among the individual risks effects riskness of the portfolios. This paper aims to discuss the relationship between correlation order and the supermodular order in general. Moreover, this paper also makes a comparison in the closeness of distributions of order statistics of random vectors ordered by correlation order. Such a comparison leads to a result more general than that in Hu and Hu [1997. Statist. Probab. Lett. 37, 1-6].

Suggested Citation

  • Yi, Zhang & Weng, Chengguo, 2006. "On the correlation order," Statistics & Probability Letters, Elsevier, vol. 76(13), pages 1410-1416, July.
    • Handle: RePEc:eee:stapro:v:76:y:2006:i:13:p:1410-1416
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    References listed on IDEAS

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    1. Lu, Tong-Yu & Yi, Zhang, 2004. "Generalized correlation order and stop-loss order," Insurance: Mathematics and Economics, Elsevier, vol. 35(1), pages 69-76, August.
    2. Dhaene, Jan & Goovaerts, Marc J., 1996. "Dependency of Risks and Stop-Loss Order1," ASTIN Bulletin, Cambridge University Press, vol. 26(2), pages 201-212, November.
    3. Christofides, Tasos C. & Vaggelatou, Eutichia, 2004. "A connection between supermodular ordering and positive/negative association," Journal of Multivariate Analysis, Elsevier, vol. 88(1), pages 138-151, January.
    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. Hürlimann, Werner, 1993. "Bivariate distributions with diatomic conditionals and stop-loss transforms of random sums," Statistics & Probability Letters, Elsevier, vol. 17(4), pages 329-335, July.
    6. Denuit, Michel & Dhaene, Jan & Ribas, Carmen, 2001. "Does positive dependence between individual risks increase stop-loss premiums?," Insurance: Mathematics and Economics, Elsevier, vol. 28(3), pages 305-308, June.
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    Cited by:

    1. Rossen, Anja, 2015. "What are metal prices like? Co-movement, price cycles and long-run trends," Resources Policy, Elsevier, vol. 45(C), pages 255-276.

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