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Session 22. Multivariate stochastic modelling in finance, insurance and risk management
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Multivariate stochastic orders and the principle of transfers |
Alfred Müller, Universität Siegen, Germany
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In this talk it will be demonstrated how functional analytic tools from
duality theory can be used to give interesting characterizations of stochastic
order relations for discrete distributions in terms of mass transfer principles.
A general result for a large class if integral stochastic orders will be derived,
and it will be shown that this applies to many important examples of multivariate stochastic orders like usual
stochastic order, convex order, supermodular order, directional convex order,
orthant orders and others.
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