Some Remarks on the Supermodular Order
By Alfred Müller, Marco Scarsini. 2000
165 citations recorded by the source corpus.
Subfields: Numerical Analysis, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/c682030b76693412f674798c691a6ab6acc718db
How researchers see this paper
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In Numerical Analysis
In Statistics and Probability
- Paul Embrechts
- Ludger Rüschendorf
- Michel Denuit
- Peter Tankov
- Alessandro Juri
- Alfred Müller
- Johana Nešlehová
- Emiliano A. Valdez
Citations in the corpus
- Comparison of multivariate risks and positive dependence (2004, background): “This comparison result under the assumption that the joint copula is conditionally increasing is due to Müller and Scarsini (2001).”
- Improved Fréchet Bounds and Model-Free Pricing of Multi-Asset Options (2010, background): “It is known [7, 12] that for every 2-increasing function f such that the integral in (9) exists, the mapping C 7→ π(C) is nondecreasing with respect to the concordance order of copulas.”
- Using copulae to bound the Value-at-Risk for functions of dependent risks (2003, background): “The important fact about PLOD, PUOD and ≤lo, ≤uo is that they are implied by other stronger dependence concepts and relations such as association, conditional increasing in sequence (CIS) and supermodular order (see Joe (1997), Theorem 2.4 and Müller and Scarsini (2000)).”
- Smooth generators of integral stochastic orders (2002, background): “A similar concept is that of the directionally convex order ≤dcx which has shown to be useful e.g. in Bäuerle and Rolski (1998), Meester and Shanthikumar (1999) and Müller and Scarsini (1999).”
- Centralized and Competitive Inventory Models with Demand Substitution (2002, background): “Proof: Muller and Scarsini [12] de¯ne supermodular stochastic order as follows: A random vector D 1 is said to be smaller than the random vector D 2 in the supermodular order, written D 1 · sm D 2 , if Ef (D 1 ) · Ef ¡ D 2 ¢ for all supermodular functions f such that the expectation exists.”
- A competitive multiple-product newsboy problem with partial product substitution (2011, unknown): “1 of Muller and Scarsini [35], if the coefficient of correlation between jointly normal distributed demands Xi and Xj increases from rij 1 to rij (2), then pi(rij (1)) r pi(rij (2)) when Qi is fixed for all i, i.”