Generalized increasing convex and directionally convex orders

Denuit, Michel;Mesfioui, Mhamed
(2010) Journal of Applied Probability — Vol. 47, n° 1, p. 264-276 (2010)

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Abstract
In this paper, the componentwise increasing convex order, the upper orthant order, the upper orthant convex order, and the increasing directionally convex order for random vectors are generalized to hierarchical classes of integral stochastic order relations. The elements of the generating classes of functions possess nonnegative partial derivatives up to some given degrees. Some properties of these new stochastic order relations are studied. Particular attention is paid to the comparison of weighted sums of the respective components of ordered random vectors. By providing a unified derivation of standard multivariate stochastic orderings, the present paper shows how some well-known results derive from a common principle. © Applied Probability Trust 2010.
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Denuit, M., & Mesfioui, M. (2010). Generalized increasing convex and directionally convex orders. Journal of Applied Probability, 47(1), 264-276. https://hdl.handle.net/2078.5/188277 (Original work published 2010)