RT journal article
T1 Stochastic Comparisons of Some Distances between Random Variables
A1 Ortega Jiménez, Patricia
A1 Sordo Díaz, Miguel Ángel
A1 Suárez Llorens, Alfonso
A2 Estadística e Investigación Operativa
K1 stochastic order
K1 copula
K1 distance
K1 variability measure
K1 premium principle
AB The aim of this paper is twofold. First, we show that the expectation of the absolute value of the difference between two copies, not necessarily independent, of a random variable is a measure of its variability in the sense of Bickel and Lehmann (1979). Moreover, if the two copies are negatively dependent through stochastic ordering, this measure is subadditive. The second purpose of this paper is to provide sufficient conditions for comparing several distances between pairs of random variables (with possibly different distribution functions) in terms of various stochastic orderings. Applications in actuarial and financial risk management are given.
PB MDPI
SN 2227-7390
YR 2021
FD 2021-05
LK http://hdl.handle.net/10498/24982
UL http://hdl.handle.net/10498/24982
LA eng
DS Repositorio Institucional de la Universidad de Cádiz
RD 10-may-2026