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Comparing Dependent Multivariate Risks: Enkelejd Hashorva
Comparing Dependent Multivariate Risks: Enkelejd Hashorva
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Comparing Risks
Examples
Comparing Dependence
Applications
Appendix
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Comparing Risks
Examples
Example: Gaussian/Normal RV
Let (X1 , X2 ) be jointly normal/Gaussian with marginal df's N(0, 1)
and correlation coecient
ρ1 = E{X1 X2 } ∈ (−1, 1)
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Comparing Risks
Examples
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Comparing Risks
Examples
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Comparing Risks
Examples
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Comparing Risks
Comparing Dependence
I rst, we require that the pairs have the same marginal df's,
i.e., X1 =
d
Y1 and X2 = Y2
d
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Comparing Risks
Comparing Dependence
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Comparing Risks
Comparing Dependence
Correlation Order
I Let (X1 , X2 ) and (Y1 , Y2 ) be two RV's with the same marginal
df's F1 , F2
I corr is a dependence order dened by
if
P{X1 ≤ s, X2 ≤ t} ≤ P{Y1 ≤ s, Y2 ≤ t}, ∀(s, t) ∈ R2
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Comparing Risks
Comparing Dependence
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Comparing Risks
Comparing Dependence
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Comparing Risks
Comparing Dependence
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Comparing Risks
Applications
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Comparing Risks
Applications
j = 1, 2
X X
Sj = Xij , Sj∗ = Xij∗ ,
i=1 i=1
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Comparing Risks
Appendix
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Comparing Risks
Appendix
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Comparing Risks
Appendix
Supermodular Order
I φ : R2 → R is supermodular if its corresponding set function
denes a nite positive measure in the sense that
φ[a , b ] = φ(b1 , b2 ) − φ(b1 , a2 ) − φ(a1 , b2 ) + φ(a1 , a2 ) ≥ 0
for a ≤ b in R2
I When φ is twice dierentiable such that
∂2
φ(1,1) (x1 , x2 ) := φ(x1 , x2 ) ≥ 0
∂x1 ∂x2
then φ is called regular.
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Comparing Risks
Appendix
Supermodular Order
I Given X and Y two bivariate RV's, then X SN Y if
E{φ(X )} ≤ E{φ(Y )}
ρS (X1 , X2 ) ≤ ρS (Y1 , Y2 )
τ (X1 , X2 ) ≤ τ (Y1 , Y2 )
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Comparing Risks
Appendix
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Comparing Risks
Appendix
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