Increasing interdependence of multivariate distributions

Arbeitspapier

Orderings of interdependence among random variables are useful in many economic contexts, for example, in assessing ex post inequality under uncertainty; in comparing multidimensional inequality; in valuing portfolios of assets or insurance policies; and in assessing systemic risk. We explore five orderings of interdependence for multivariate distributions: greater weak association, the supermodular ordering, the convex-modular ordering, the dispersion ordering, and the concordance ordering. For two dimensions, all five orderings are equivalent, whereas for an arbitrary number of dimensions n > 2, the five orderings are strictly ranked. For the special case of binary random variables, we establish some equivalences among the orderings.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Discussion Paper ; No. 1523

Classification and Topics

• Classification: Wirtschaft ; Equity, Justice, Inequality, and Other Normative Criteria and Measurement ; Criteria for Decision-Making under Risk and Uncertainty ; Portfolio Choice; Investment Decisions ; Insurance; Insurance Companies; Actuarial Studies
• Subject: dependence ordering ; stochastic orders ; supermodularity ; weak association ; concordance

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Meyer, Margaret ; Strulovici, Bruno
• Event: Veröffentlichung
• (who): Northwestern University, Kellogg School of Management, Center for Mathematical Studies in Economics and Management Science
• (where): Evanston, IL
• (when): 2011

Further information

• Handle: http://hdl.handle.net/10419/59619
• Last update: 10.03.2025, 11:42 AM CET