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.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Discussion Paper ; No. 1523

Klassifikation und Themen

• Klassifikation: 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
• Thema: dependence ordering ; stochastic orders ; supermodularity ; weak association ; concordance

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Meyer, Margaret ; Strulovici, Bruno
• Ereignis: Veröffentlichung
• (wer): Northwestern University, Kellogg School of Management, Center for Mathematical Studies in Economics and Management Science
• (wo): Evanston, IL
• (wann): 2011

Weitere Informationen

• Handle: http://hdl.handle.net/10419/59619
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ