Characterizations of classes of risk measures by dispersive orders

Sordo Díaz, Miguel Ángel

doi:10.1016/j.insmatheco.2007.12.004

Identificadores

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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Autor/es

Sordo Díaz, Miguel Ángel

Fecha

2008-01-01

Departamento/s

Estadística e Investigación Operativa

Fuente

Insurance: Mathematics and Economics - 2008, Vol. 42, Issue 3, pp. 1028-1034

Resumen

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.

Materias

dispersive order; excess wealth order; risk measures; Gini mean difference; Wang's right tail deviation

Colecciones

Artículos Científicos [11777]
Articulos Científicos Est. I.O. [354]

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