Corpus ID: 17632958

Ordering of multivariate probability distributions with respect to extreme portfolio losses

@article{Mainik2010OrderingOM,
  title={Ordering of multivariate probability distributions with respect to extreme portfolio losses},
  author={Georg Mainik and Ludger Ruschendorf},
  journal={arXiv: Risk Management},
  year={2010}
}
  • Georg Mainik, Ludger Ruschendorf
  • Published 2010
  • Mathematics, Economics
  • arXiv: Risk Management
  • 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… CONTINUE READING

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