Increasing interdependence of multivariate distributions

Margaret Meyer and Bruno Strulovici

Journal of Economic Theory, 2012, vol. 147, issue 4, 1460-1489

Abstract: Orderings of interdependence are useful in many economic contexts: 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 are equivalent, whereas for three dimensions, the first four are strictly ranked and the last two are equivalent, and for four or more dimensions, all five are strictly ranked. For the special case of binary random variables, we establish some equivalences among the orderings.

Keywords: Dependence ordering; Stochastic orders; Supermodularity; Weak association; Concordance (search for similar items in EconPapers)
JEL-codes: D63 D81 G11 G22 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (30)

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Related works:
Working Paper: Increasing Interdependence of Multivariate Distributions (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jetheo:v:147:y:2012:i:4:p:1460-1489

DOI: 10.1016/j.jet.2011.09.001

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