Comparison of risks based on the expected proportional shortfall

DOI10.1016/j.insmatheco.2012.05.003zbMath1284.91206OpenAlexW2019119109MaRDI QIDQ153955

José F. Pinar, Miguel A. Sordo, José M. Ruiz, Félix Belzunce, Miguel A. Sordo, José F. Pinar, Felix Belzunce, José-María Ruiz

Publication date: September 2012

Published in: Insurance: Mathematics and Economics, Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.05.003

zbMATH Keywords

risk measuresexpected shortfallcomparison of risks

Mathematics Subject Classification ID

Related Items (10)

On the comparison of relative spacings with applications ⋮ Measuring and comparing risks of different types ⋮ On the second-order excess wealth order and its properties ⋮ A QUANTILE-BASED PROBABILISTIC MEAN VALUE THEOREM ⋮ Comparison of concentration for several families of income distributions ⋮ Increasing mean inactivity time ordering: a quantile approach ⋮ Testing variability orderings by using Gini's mean differences ⋮ Sufficient conditions for some transform orders based on the quantile density ratio ⋮ Risk ⋮ Lorenz and polarization orderings of the double-Pareto lognormal distribution and other size distributions

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