Supermodular Functions on Finite Lattices

The supermodular order on multivariate distributions has many applications in financial and actuarial mathematics. In the particular case of finite, discrete distributions, we generalize the order to distributions on finite lattices. In this setting, we focus on the generating cone of supermodular functions because the extreme rays of that cone (modulo the modular functions) can be used as test functions to determine whether two random variables are ordered under the supermodular order. We completely determine the extreme supermodular functions in some special cases.Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/43343/1/11083_2005_Article_9026.pd