Stochastic comparisons of distorted variability measures
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DepartmentEstadística e Investigación Operativa
SourceInsurance: Mathematics and Economics - 2011, Vol. 49, Issue 1, pp. 11–17
In this paper, we consider the dispersive order and the excess wealth order to compare the variability of distorted distributions. We know from Sordo (2009a) that the excess wealth order can be characterized in terms of a class of variability measures associated to the tail conditional distribution which includes, as a particular measure, the tail variance. Given that the tail conditional distribution is a particular distorted distribution, a natural question is whether this result can be extended to include other classes of variability measures associated to general distorted distributions. As we show in this paper, the answer is yes, by focussing on distorted distributions associated to concave distortion functions. For distorted distributions associated to more general distortions, the characterizations are stated in terms of the stronger dispersive order.