Far East Journal of Theoretical Statistics
Volume 21, Issue 2, Pages 157 - 169
(March 2007)
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POSITIVE DEPENDENCE PROPERTIES OF THE MULTIVARIATE REDUCTION
CLASS
Hürlimann Werner (Zürich)
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Abstract: It is shown that the class of multivariate distributions
generated by the multivariate reduction method satisfies the strong positive
orthant dependence and the positive cumulative dependence properties. In this
class of multivariate models, pairwise uncorrelatedness implies mutual
independence and the stop-loss increase in sum property holds. Some applications
to pricing theory and risk management are mentioned. |
Keywords and phrases: multivariate distributions, multivariate reduction, strong
positive orthant dependence, positive cumulative dependence, joint correlation,
mutual independence, stop-loss increase in sum. |
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