𝔖 Bobbio Scriptorium
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Ordering of risks through loss ratios

✍ Scribed by Werner Hürlimann


Book ID
107918910
Publisher
Elsevier Science
Year
1992
Tongue
English
Weight
487 KB
Volume
11
Category
Article
ISSN
0167-6687

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Stop-loss order for portfolios of depend
✍ Alfred Müller 📂 Article 📅 1997 🏛 Elsevier Science 🌐 English ⚖ 376 KB

The paper considers the riskiness of portfolios of dependent risks, The supermodular stochastic order is used to compare the dependence of multivariate distributions with equal marginals. It is shown that supermodular ordering implies stop-loss order of the portfolios. Moreover, the riskiest portfol