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Let X and Y be two random vectors in Rn sharing the same dependence structure, that is, with a common copula. As many authors have pointed out, results of the following form are of interest: under which conditions, the stochastic comparison of the marginals of X and Y is a sufficient condition...
Persistent link: https://www.econbiz.de/10011046581
In actuarial theory, the Lp-metric is used to evaluate how well a probability distribution approximates another one. In the context of the distorted expectation hypothesis, the actuary replaces the original probability distribution by a distorted probability, so it makes sense to interpret the...
Persistent link: https://www.econbiz.de/10011046608
Persistent link: https://www.econbiz.de/10012058865