Ordered random vectors and equality in distribution

Ka Chun Cheung, Jan Dhaene, Alexander Kukush, Daniël Linders

Research output: Contribution to journalArticle

Abstract

Abstract: In this paper we show that under appropriate moment conditions, the supermodular ordered random vectors (Formula presented.) and (Formula presented.) with equal expected utilities (or distorted expectations) of the sums (Formula presented.) and (Formula presented.) for an appropriate utility (or distortion) function, must necessarily be equal in distribution, that is (Formula presented.). The results in this paper can be considered as generalizations of some recent results on comonotonicity, where necessary conditions related to the distribution of (Formula presented.) are presented for the random vector (Formula presented.) to be comonotonic.

Original languageEnglish (US)
Pages (from-to)221-244
Number of pages24
JournalScandinavian Actuarial Journal
Volume2015
Issue number3
DOIs
StatePublished - Apr 3 2015
Externally publishedYes

Keywords

  • comonotonicity
  • concordance order
  • distorted expectation
  • expected utility
  • supermodular order

ASJC Scopus subject areas

  • Statistics and Probability
  • Economics and Econometrics
  • Statistics, Probability and Uncertainty

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