Some notions of multivariate positive dependence

Marco Scarsini (1, 2) , Antonio Colangelo , Moshe Shaked

1 GREGH - Groupement de Recherche et d'Etudes en Gestion à HEC
2 Dipartimento di Scienze Economiche e Aziendali

The authors study new notions of positive dependence that are associated to multivariate stochastic orders of positive dependence introduced recently by Colangelo et al. [J. Multivar. Anal., to appear]. In particular, they discuss the relationship of these new notions to other existing concepts of positive dependence.

Keywords: Affiliation; Conditionally increasing; Conditionally increasing in sequence; Left corner set decreasing; Left-tail decreasing; Left-tail decreasing in sequence; Lower orthant decreasing ratio order; Multivariate total positivity of order two; Right corner set increasing; Right-tail increasing; Right-tail increasing in sequence; Upper orthant increasing order ratio

Domains: Humanities and Social Sciences; Economics and Finance; Economy and decision science

Marco Scarsini, Antonio Colangelo, Moshe Shaked. Some notions of multivariate positive dependence. Insurance: Mathematics and Economics, 2005, Vol. 37, N° 1, pp. 13-26. ⟨10.1016/j.insmatheco.2004.09.004⟩. ⟨hal-00539601⟩