@misc{10498/33346,
year = {2015},
url = {http://hdl.handle.net/10498/33346},
abstract = {Given a portfolio of risks, we study the marginal behavior of the i-th risk under an adverse event, such as an unusually large loss in the portfolio or, in the case of a portfolio with a positive dependence structure, to an unusually large loss for another risk. By considering some particular conditional risk distributions, we formalize, in several ways, the intuition that the i-th component of the portfolio is riskier when it is part of a positive dependent random vector than when it is considered alone. We also study, given two random vectors with a  xed dependence structure, the circumstances under which the existence of some stochastic orderings among their marginals implies an ordering among the corresponding conditional risk distributions.},
publisher = {Elsevier},
keywords = {dependence},
keywords = {conditional distribution},
keywords = {comonotonic vectors},
keywords = {stochastic orders},
keywords = {conditionally increasing},
keywords = {distortion function},
keywords = {distorted random variables},
title = {Comparison of conditional distributions in portfolios of dependent risks},
doi = {10.1016/j.insmatheco.2014.11.008},
author = {Sordo Díaz, Miguel Ángel and Suárez Llorens, Alfonso and Bello Espina, Alfonso José},
}