Characterizations of classes of risk measures by dispersive orders

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URI: http://hdl.handle.net/10498/14977

DOI: 10.1016/j.insmatheco.2007.12.004

URL: http://dx.doi.org/10.1016/j.insmatheco.2007.12.004

ISSN: 0167-6687

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Author/s
Sordo Díaz, Miguel ÁngelAuthority UCA
Date
2008-01-01
Department
Estadística e Investigación Operativa
Source
Insurance: Mathematics and Economics - 2008, Vol. 42, Issue 3, pp. 1028-1034
Abstract
In this paper, a class C of risk measures, which generalizes the class of risk measures for the right-tail deviation suggested by Wang (1998), is characterized in terms of dispersive order. If dispersive order does not hold, unanimous comparisons are still possible by restricting our attention to a subclass of C and then the criterion is the excess wealth order. Sufficient conditions for stochastic equivalence of excess wealth ordered random variables are derived in terms of some particular measures of this subclass.
Subjects
dispersive order; excess wealth order; risk measures; Gini mean difference; Wang's right tail deviation
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Attribution-NonCommercial-NoDerivs 3.0 Unported
This work is under a Creative Commons License Attribution-NonCommercial-NoDerivs 3.0 Unported