Comparison of aggregation, minimum and maximum of two risky portfolios with dependent claims

Saeed Ariyafar, Mahbanoo Tata, Mohsen Rezapour and Mohsen Madadi

Journal of Multivariate Analysis, 2020, vol. 178, issue C

Abstract: The comparison of two risky portfolios has always been of interest in insurance and finance. Classically, it is often assumed that the portfolio claims are independent, but in practice, this assumption is not usually true and we need to study portfolios with dependent claims. In this paper, we consider two risky portfolios with dependent claims whose dependencies are modeled using Archimedean copulas and compare the aggregation and minimum of these portfolios with respect to the Laplace transform order. Moreover, we compare the maxima of two interdependent portfolios by the usual stochastic order.

Keywords: Archimedean copula; Laplace transform ordering; Majorization; Stochastic ordering; Usual stochastic ordering (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0047259X19304841
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:178:y:2020:i:c:s0047259x19304841

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.jmva.2020.104620

Access Statistics for this article

Journal of Multivariate Analysis is currently edited by de Leeuw, J.

More articles in Journal of Multivariate Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().