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http://hdl.handle.net/10419/59619
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| Title: | | Increasing interdependence of multivariate distributions  |
| Authors: | | Meyer, Margaret Strulovici, Bruno |
| Issue Date: | | 2011 |
| Series/Report no.: | | Discussion Paper, Center for Mathematical Studies in Economics and Management Science 1523 |
| Abstract: | | Orderings of interdependence among random variables are useful in many economic contexts, for example, in assessing ex post inequality under uncertainty; in comparing multidimensional inequality; in valuing portfolios of assets or insurance policies; and in assessing systemic risk. We explore five orderings of interdependence for multivariate distributions: greater weak association, the supermodular ordering, the convex-modular ordering, the dispersion ordering, and the concordance ordering. For two dimensions, all five orderings are equivalent, whereas for an arbitrary number of dimensions n > 2, the five orderings are strictly ranked. For the special case of binary random variables, we establish some equivalences among the orderings. |
| Subjects: | | dependence ordering stochastic orders supermodularity weak association concordance |
| JEL: | | D63 D81 G11 G22 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Discussion Papers, Kellogg School of Management, Northwestern University
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