RT journal article
T1 Comparison of conditional distributions in portfolios of dependent risks
A1 Sordo Díaz, Miguel Ángel
A1 Suárez Llorens, Alfonso
A1 Bello Espina, Alfonso José
A2 Estadística e Investigación Operativa
K1 dependence
K1 conditional distribution
K1 comonotonic vectors
K1 stochastic orders
K1 conditionally increasing
K1 distortion function
K1 distorted random variables
AB Given a portfolio of risks, we study the marginal behavior of the i-th risk under an adverse event, such as an unusually large loss in the portfolio or, in the case of a portfolio with a positive dependence structure, to an unusually large loss for another risk. By considering some particular conditional risk distributions, we formalize, in several ways, the intuition that the i-th component of the portfolio is riskier when it is part of a positive dependent random vector than when it is considered alone. We also study, given two random vectors with a  xed dependence structure, the circumstances under which the existence of some stochastic orderings among their marginals implies an ordering among the corresponding conditional risk distributions.
PB Elsevier
SN 0167-6687
YR 2015
FD 2015
LK http://hdl.handle.net/10498/33346
UL http://hdl.handle.net/10498/33346
LA eng
DS Repositorio Institucional de la Universidad de Cádiz
RD 21-sep-2026