New stochastic comparisons based on tail value at risk measures

DOI10.1080/03610926.2020.1754857OpenAlexW3016885282MaRDI QIDQ5079272

Alba M. Franco-Pereira, Julio Mulero, Felix Belzunce

Publication date: 25 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10045/115079

zbMATH Keywords

stochastic ordersvalue at riskresidual claims

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (1)

On the second-order excess wealth order and its properties

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Univariate and multivariate Pareto models
• Stochastic orders
• Risk aversion in the theory of expected utility with rank dependent probabilities
• Conditional value-at-risk bounds for compound Poisson risks and a normal approximation
• Insurance pricing and increased limits ratemaking by proportional hazards transforms
• Orderings of risks: A comparative study via stop-loss transforms
• Percentile residual life orders
• Asymptotic Statistics
• Risk-adjusted credibility premiums using distorted probabilities
• Analytical Bounds for two Value-at-Risk Functionals
• On the median residual lifetime and its aging properties: A characterization theorem and applications
• Tabulations for value at risk and expected shortfall
• Tests for the Second Order Stochastic Dominance Based onL-Statistics

This page was built for publication: New stochastic comparisons based on tail value at risk measures