Stochastic dominance of sums of risks under dependence conditions
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arXiv
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| Hauptverfasser: | , |
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| Format: | Preprint |
| Veröffentlicht: |
2025
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| _version_ | 1866910863506538496 |
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| author | Navarro, Jorge Zapata, José M. |
| author_facet | Navarro, Jorge Zapata, José M. |
| contents | We provide conditions for the stochastic dominance comparisons of a risk $X$ and an associated risk $X+Z$, where $Z$ represents the uncertainty due to the environment and where $X$ and $Z$ can be dependent. The comparisons depend on both the copula $C$ between the distributions of $X$ and $Z$ and on the distribution of $Z$. We provide two different conditions for $C$ which represents new positive dependence properties. Regarding $Z$, we need some symmetry or asymmetry (skew) properties. Some illustrative examples are provided. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2503_05348 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Stochastic dominance of sums of risks under dependence conditions Navarro, Jorge Zapata, José M. Statistics Theory We provide conditions for the stochastic dominance comparisons of a risk $X$ and an associated risk $X+Z$, where $Z$ represents the uncertainty due to the environment and where $X$ and $Z$ can be dependent. The comparisons depend on both the copula $C$ between the distributions of $X$ and $Z$ and on the distribution of $Z$. We provide two different conditions for $C$ which represents new positive dependence properties. Regarding $Z$, we need some symmetry or asymmetry (skew) properties. Some illustrative examples are provided. |
| title | Stochastic dominance of sums of risks under dependence conditions |
| topic | Statistics Theory |
| url | https://arxiv.org/abs/2503.05348 |