On the distance between convex-ordered random variables, with applications

Abstract

Simple approximation techniques are developed exploiting relationships between generalized convex orders and appropriate probability metrics. In particular, the distance between s-convex ordered random variables is investigated. Results connecting positive or negative dependence concepts and convex ordering are also presented. These results lead to approximations and bounds for the distributions of sums of positively or negatively dependent random variables. Applications and extensions of the main results pertaining to compound Poisson, normal and exponential approximation are provided as well.