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Comonotonicity, orthant convex order and sums of random variables

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  • Mesfioui, Mhamed
  • Denuit, Michel

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  • Mesfioui, Mhamed & Denuit, Michel, 2014. "Comonotonicity, orthant convex order and sums of random variables," LIDAM Discussion Papers ISBA 2014002, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvad:2014002
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    References listed on IDEAS

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    1. Kaas, Rob & Dhaene, Jan & Goovaerts, Marc J., 2000. "Upper and lower bounds for sums of random variables," Insurance: Mathematics and Economics, Elsevier, vol. 27(2), pages 151-168, October.
    2. Denuit, Michel & Mesfioui, Mhamed, 2012. "A sufficient condition of crossing-type for the bivariate orthant convex order," LIDAM Discussion Papers ISBA 2012028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    3. Pellerey, Franco, 1999. "Stochastic Comparisons for Multivariate Shock Models," Journal of Multivariate Analysis, Elsevier, vol. 71(1), pages 42-55, October.
    4. Dhaene, J. & Denuit, M. & Goovaerts, M. J. & Kaas, R. & Vyncke, D., 2002. "The concept of comonotonicity in actuarial science and finance: theory," Insurance: Mathematics and Economics, Elsevier, vol. 31(1), pages 3-33, August.
    5. Denuit, Michel & Mesfioui, Mhamed, 2010. "Generalized increasing convex and directionally convex orders," LIDAM Discussion Papers ISBA 2010012, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    6. Balakrishnan, Narayanaswamy & Belzunce, Félix & Sordo, Miguel A. & Suárez-Llorens, Alfonso, 2012. "Increasing directionally convex orderings of random vectors having the same copula, and their use in comparing ordered data," Journal of Multivariate Analysis, Elsevier, vol. 105(1), pages 45-54.
    7. Denuit, Michel & Mesfioui, Mhamed, 2010. "Generalized increasing convex and directionally convex orders," LIDAM Reprints ISBA 2010029, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
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