Cheung, Ka Chun
[Verfasser:in]
;
Dhaene, Jan
[Sonstige Person, Familie und Körperschaft];
Kukush, Alexander
[Sonstige Person, Familie und Körperschaft];
Linders, Daniël
[Sonstige Person, Familie und Körperschaft]
Ordered Random Vectors and Equality in Distribution
Erschienen in:KU Leuven - Faculty of Economics and Business Working Paper ; No. AFI_1377
Umfang:
1 Online-Ressource (25 p)
Sprache:
Englisch
DOI:
10.2139/ssrn.2261656
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 11, 2013 erstellt
Beschreibung:
In this paper we show that under appropriate moment conditions, the supermodular ordered random vectors X = (X1, X2, ... , Xn) and Y = (Y1, Y2, ... ,Yn) with equal expected utilities (or distorted expectations) of the sums X1 + X2 + ... + Xn and Y1 + Y2 + ... + Yn for an appropriate utility (or distortion) function, must necessarily be equal in distribution, that is Xd=Y. The results in this paper can be considered as generalizations of the results of Cheung (2010), who presents necessary conditions related to the distribution of X1 + X2 + ... + Xn for the random vector X = (X1 + X2 + ... + Xn) to be comonotonic