Comparison of conditional distributions in portfolios of dependent risks

DOI10.1016/j.insmatheco.2014.11.008zbMath1314.91145OpenAlexW2032705861MaRDI QIDQ2347097

Alfonso J. Bello, Miguel A. Sordo, Alfonso Suárez-Llorens

Publication date: 26 May 2015

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.11.008

zbMATH Keywords

stochastic ordersconditional distributiondependencedistortion functionconditionally increasingcomonotonic vectorsdistorted random variables

Mathematics Subject Classification ID

Related Items (10)

A multivariate extension of the increasing convex order to compare risks ⋮ Vector-valued tail value-at-risk and capital allocation ⋮ Stochastic orders and multivariate measures of risk contagion ⋮ Systemic risk: conditional distortion risk measures ⋮ Stochastic orders and co-risk measures under positive dependence ⋮ Probability equivalent level for CoVaR and VaR ⋮ Stochastic comparisons and bounds for conditional distributions by using copula properties ⋮ On sufficient conditions for the comparison in the excess wealth order and spacings ⋮ Measures of ageing tendency ⋮ Reliability properties of proportional hazards relevation transform

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