RT journal article
T1 Comparing tail variabilities of risks by means of the excess wealth order
A1 Sordo Díaz, Miguel Ángel
A2 Estadística e Investigación Operativa
K1 conditional tail variance
K1 risk measures
K1 excess wealth order
K1 dispersive order
AB 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 conditionalcharacteristics 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.
PB Elsevier
SN 0167-6687
YR 2009
FD 2009-01-01T00:00:00Z
LK http://hdl.handle.net/10498/14974
UL http://hdl.handle.net/10498/14974
LA eng
NO Ministerio de Ciencia e Innovación (grant MTM2009-08326)
DS Repositorio Institucional de la Universidad de Cádiz
RD 21-sep-2026