Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/59619
Authors: 
Meyer, Margaret
Strulovici, Bruno
Year of Publication: 
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

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