RT journal article
T1 Stochastic orders and co-risk measures under positive dependence
A1 Sordo Díaz, Miguel Ángel
A1 Bello Espina, Alfonso José
A1 Suárez Llorens, Alfonso
A2 Estadística e Investigación Operativa
K1 Co-risk measures
K1 Stocstochastic orderings
K1 CoVaR
K1 CoES
K1 Risk contribution
K1 Dispersive order
K1 Increasing convex order
K1 Excess wealth order
AB Conditional risk measures (or co-risk measures) and risk contribution measures are increasingly used in actuarial portfolio analysis to evaluate the systemic risk, which is related to the risk that the failure or loss of a component spreads to another component or even to the whole portfolio: while co-risk measures are risk-adjusted versions of measures usually employed to assess isolate risks, risk contribution measures quantify  how a stress situation for a component affects another one. In this paper, we provide sufficient conditions under which two random vectors could be compared in terms of CoVaR (conditional value-at- risk), CoES (conditional expected shortfall) and different risk contribution measures. Conditions are given in terms of the increasing convex order, the dispersive order and the excess wealth order of the marginals under some assumptions of positive dependence.
PB Elsevier
SN 01676687
YR 2018
FD 2018
LK http://hdl.handle.net/10498/30410
UL http://hdl.handle.net/10498/30410
LA eng
DS Repositorio Institucional de la Universidad de Cádiz
RD 07-nov-2026