RT journal article
T1 Characterizations of classes of risk measures by dispersive orders
A1 Sordo Díaz, Miguel Ángel
A2 Estadística e Investigación Operativa
K1 dispersive order
K1 excess wealth order
K1 risk measures
K1 Gini mean difference
K1 Wang's right tail deviation
AB In this paper, a class C of risk measures, which generalizes the class of risk measures for the right-taildeviation suggested by Wang (1998),  is characterized in terms of dispersive order. If dispersive order does nothold, 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.
PB Elsevier
SN 0167-6687
YR 2008
FD 2008-01-01T00:00:00Z
LK http://hdl.handle.net/10498/14977
UL http://hdl.handle.net/10498/14977
LA eng
NO Ministerio de Educación y Ciencia (grant SEJ2005-06678)
DS Repositorio Institucional de la Universidad de Cádiz
RD 21-sep-2026