RT Journal Article
T1 A characterization of the multivariate excess wealth ordering
A1 Fernández-Ponce, J.M.
A1 Pellerey, F.
A1 Rodríguez-Griñolo, Rosario
K1 Excess wealth function
K1 Expansion function
K1 Multivariate dispersion ordering
K1 Quantile
K1 Upper-corrected orthant
AB 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.
PB Elsevier
YR 2011
FD 2011-11
LK https://hdl.handle.net/10433/21264
UL https://hdl.handle.net/10433/21264
LA en
NO Insurance: Mathematics and Economics Vol. 49, nº 3, p. 410-417
NO Departamento de Economía, Métodos Cuantitativos e Hª Económica, Área de Estadísitca e I.O. Universidad Pablo de Olavide
NO Departamento de Estadística e I.O., Universidad de Sevilla,
NO Departamento de Matemáticas, Politécnico de Turin
DS RIO
RD May 23, 2026