Stochastic ordering of discrete multivariate distributions. Algorithm in C++ with applications in the comparison of number of claims and extremes order statistics
| 27 may 2024
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Publicado en línea: 27 may 2024
Páginas: 127 - 140
Recibido: 09 dic 2022
Aceptado: 08 mar 2023
DOI: https://doi.org/10.2478/auom-2024-0007
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© 2024 Luigi-Ionut Catana, published by Sciendo
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.
In this article we present a stochastic ordering verification algorithm between multivariate discrete distributions implemented in the C++ programming language. This algorithm is essential in problems of finding the optimal portfolio when dealing with discrete distributions.