Expectiles, omega ratios and stochastic ordering

DOI10.1007/s11009-016-9527-2zbMath1402.60023OpenAlexW3121449690WikidataQ60430058 ScholiaQ60430058MaRDI QIDQ1617323

Alfred Müller, Fabio Bellini, Bernhard Klar

Publication date: 8 November 2018

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-016-9527-2

zbMATH Keywords

Lomax distributionskew-normal distributionstop-loss transformomega ratiothird-order stochastic dominanceexpectile order

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Probability distributions: general theory (60E05) Statistical methods; economic indices and measures (91B82)

Related Items (13)

Dispersive orderings induced by differences of inter risk measures ⋮ Technical Note—Ranking Distributions When Only Means and Variances Are Known ⋮ Performance measurement with expectiles ⋮ Implicit quantiles and expectiles ⋮ Parametric measures of variability induced by risk measures ⋮ Comparison of \(L_p\)-quantiles and related skewness measures ⋮ Stochastic orders and measures of skewness and dispersion based on expectiles ⋮ Optimal strategies under omega ratio ⋮ Implicit expectiles and measures of implied volatility ⋮ Omega ratio optimization with actuarial and financial applications ⋮ Expectile depth: theory and computation for bivariate datasets ⋮ On the dependence structure between S&P500, VIX and implicit Interexpectile Differences ⋮ Mean-expectile portfolio selection

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