Comparing tail variabilities of risks by means of the excess wealth order
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Publication:659172
DOI10.1016/J.INSMATHECO.2009.10.001zbMath1231.91238OpenAlexW1989160696MaRDI QIDQ659172
Publication date: 10 February 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10498/14974
Related Items (17)
A new variability order based on tail-heaviness ⋮ Statistical inference for tail-based cumulative residual entropy ⋮ On a family of risk measures based on proportional hazards models and tail probabilities ⋮ Some results for the comparison of generalized order statistics in the total time on test and excess wealth orders ⋮ On the second-order excess wealth order and its properties ⋮ Comparison of increasing directionally convex transformations of random vectors with a common copula ⋮ Stochastic orders and co-risk measures under positive dependence ⋮ Auditing Shaked and Shanthikumar's `excess wealth' ⋮ Tail variance of portfolio under generalized Laplace distribution ⋮ Testing variability orderings by using Gini's mean differences ⋮ The tail behavior of the convolutions of Gamma random variables ⋮ Stochastic comparisons of distorted variability measures ⋮ On sufficient conditions for the comparison in the excess wealth order and spacings ⋮ Comparison of risks based on the expected proportional shortfall ⋮ Robust Optimization in Simulation: Taguchi and Krige Combined ⋮ Relation between cumulative residual entropy and excess wealth transform with applications to reliability and risk ⋮ Comparison of conditional distributions in portfolios of dependent risks
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