Stochastic ordering of discrete multivariate distributions. Algorithm in C++ with applications in the comparison of number of claims and extremes order statistics

Abstract

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.

Keywords

• multivariate discrete distribution
• stochastic order
• algorithm
• primary 60e15
• secondary 62g32