The paper is a survey of recent investigations by the authors and others into the relative efficiencies of structural and functional estimators of the regression parameters in a measurement error model. While structural methods, in particular the quasi-score (QS) method, take advantage of the...

In this paper we show that under appropriate moment conditions, the supermodular ordered random vectors X = (X1, X2, ... , Xn) and Y = (Y1, Y2, ... ,Yn) with equal expected utilities (or distorted expectations) of the sums X1 + X2 + ... + Xn and Y1 + Y2 + ... + Yn for an appropriate utility (or...

In this paper we show that under appropriate moment conditions, two supermodular ordered random vectors with equal expected utilities (or distorted expectations) of the sums for an appropriate utility (or distortion) function, must necessarily be equal in distribution. The results in this paper...

In order to price multivariate derivatives, there is need for a multivariate stock price model. To keep the simplicity and attractiveness of the one-dimensional Black & Scholes model, one often considers a multivariate model where each individual stock follows a Black & Scholes model, but the...

For an arbitrage-free market with a single underlying asset, we investigate conditions under which the consecutive price levels are comonotonic. Furthermore, for an arbitrage-free market with n assets we investigate the consequences of assuming comonotonicity of the vector containing the price...