Comparing tail variabilities of risks by means of the excess wealth order

Identificadores
URI: http://hdl.handle.net/10498/14974
DOI: 10.1016/j.insmatheco.2009.10.001
URL: http://dx.doi.org/10.1016/j.insmatheco.2009.10.001
ISSN: 0167-6687
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Sordo Díaz, Miguel Ángel
Date
2009-01-01Department
Estadística e Investigación OperativaSource
Insurance: Mathematics and Economics 45 (2009), pp. 466-469Abstract
There is a growing interest in the actuarial community to employ certain tail conditional characteristics as measures of risk, which are informative about the variability of the losses beyond the value-at-risk (one example is the tail conditional variance, introduced by Furman and Landsman, 2006). However, comparisons of tail risks based on different measures may not always be consistent. In addition, conclusions based on these conditional
characteristics depend on the choice of the tail probability p, so different p's also may produce contradictory conclusions. In this note, we suggest to compare tail variability of risks by means of the excess wealth order, which makes judgements only if large classes of tail conditional characteristics imply the same conclusion, independently of the choice of p.
Subjects
conditional tail variance; risk measures; excess wealth order; dispersive orderCollections
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