A characterization of the multivariate excess wealth ordering

J.M. Fernández-Ponce, F. Pellerey and M.R. Rodríguez-Griñolo

Insurance: Mathematics and Economics, 2011, vol. 49, issue 3, 410-417

Abstract: In this paper, some new properties of the upper-corrected orthant of a random vector are proved. The univariate right-spread or excess wealth function, introduced by Fernández-Ponce et al. (1996), is extended to multivariate random vectors, and some properties of this multivariate function are studied. Later, this function was used to define the excess wealth ordering by Shaked and Shanthikumar (1998) and Fernández-Ponce et al. (1998). The multivariate excess wealth function enable us to define a new stochastic comparison which is weaker than the multivariate dispersion orderings. Also, some properties relating the multivariate excess wealth order with stochastic dependence are described.

Keywords: Excess wealth function; Expansion function; Multivariate dispersion ordering; Quantile; Upper-corrected orthant (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:49:y:2011:i:3:p:410-417

DOI: 10.1016/j.insmatheco.2011.07.001

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