IDEAS home Printed from
   My bibliography  Save this paper

Ordering of multivariate probability distributions with respect to extreme portfolio losses


  • Georg Mainik
  • Ludger Ruschendorf


A new notion of stochastic ordering is introduced to compare multivariate stochastic risk models with respect to extreme portfolio losses. In the framework of multivariate regular variation comparison criteria are derived in terms of ordering conditions on the spectral measures, which allows for analytical or numerical verification in practical applications. Additional comparison criteria in terms of further stochastic orderings are derived. The application examples include worst case and best case scenarios, elliptically contoured distributions, and multivariate regularly varying models with Gumbel, Archimedean, and Galambos copulas.

Suggested Citation

  • Georg Mainik & Ludger Ruschendorf, 2010. "Ordering of multivariate probability distributions with respect to extreme portfolio losses," Papers 1010.5171,
  • Handle: RePEc:arx:papers:1010.5171

    Download full text from publisher

    File URL:
    File Function: Latest version
    Download Restriction: no

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:


    Access and download statistics


    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:arx:papers:1010.5171. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators). General contact details of provider: .

    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.

    We have no references for this item. You can help adding them by using 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.