G2TT
来源类型Discussion paper
规范类型论文
来源IDDP9486
DP9486 The Supermodular Stochastic Ordering
Margaret Meyer
发表日期2013-05-26
出版年2013
语种英语
摘要In many economic applications involving comparisons of multivariate distributions, supermodularity of an objective function is a natural property for capturing a preference for greater interdependence. One multivariate distribution dominates another according to the `supermodular stochastic ordering' if it yields a higher expectation than the other for all supermodular objective functions. We prove that this ordering is equivalent to one distribution being derivable from another by a sequence of elementary, bivariate, interdependence-increasing transformations, and develop methods for determining whether such a sequence exists. For random vectors resulting from common and idiosyncratic shocks, we provide non-parametric sufficient conditions for supermodular dominance. Moreover, we characterize the orderings corresponding to supermodular objective functions that are also increasing or symmetric. We use the symmetric supermodular ordering to compare distributions generated by heterogeneous lotteries. Applications to welfare economics, committee decision-making, insurance, finance, and parameter estimation are discussed.
主题Financial Economics ; Industrial Organization ; Public Economics
关键词Concordance Copula Correlation Interdependence Majorization Mixture Supermodular Tournament
URLhttps://cepr.org/publications/dp9486
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/538322
推荐引用方式
GB/T 7714
Margaret Meyer. DP9486 The Supermodular Stochastic Ordering. 2013.
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