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Stochastic ordering of Gini indexes for multivariate elliptical random variables. (arXiv:1908.01943v1 [q-fin.RM])

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In this paper, we establish the stochastic ordering of the Gini indexes for multivariate elliptical risks which generalized the corresponding results for multivariate normal risks. It is shown that several conditions on dispersion matrices and the components of dispersion matrices of multivariate normal risks for the monotonicity of the Gini index in the usual stochastic order proposed by Samanthi, Wei and Brazauskas (2016) and Kim and Kim (2019) also suitable for multivariate elliptical risks.


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