Characterizations of classes of risk measures by dispersive orders

DOI10.1016/j.insmatheco.2007.12.004zbMath1141.91548OpenAlexW2014212354MaRDI QIDQ931192

Miguel A. Sordo

Publication date: 25 June 2008

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

Full work available at URL: http://hdl.handle.net/10498/14977

zbMATH Keywords

risk measuresdispersive orderGini mean differenceexcess-wealth orderWang's right-tail deviation

Mathematics Subject Classification ID

Related Items (20)

A universal, canonical dispersive ordering in metric spaces ⋮ NEW PROPERTIES OF THE TOTAL TIME ON TEST TRANSFORM ORDER ⋮ A new variability order based on tail-heaviness ⋮ Systemic risk: conditional distortion risk measures ⋮ 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 ⋮ Some stochastic comparisons of lower records and lower record spacings ⋮ Comparison of increasing directionally convex transformations of random vectors with a common copula ⋮ A family of variability measures based on the cumulative residual entropy and distortion functions ⋮ Stochastic orders and co-risk measures under positive dependence ⋮ Comparing tail variabilities of risks by means of the excess wealth order ⋮ DERIVING ROBUST BAYESIAN PREMIUMS UNDER BANDS OF PRIOR DISTRIBUTIONS WITH APPLICATIONS ⋮ Testing variability orderings by using Gini's mean differences ⋮ Stochastic comparisons of distorted variability measures ⋮ On sufficient conditions for the comparison in the excess wealth order and spacings ⋮ On the relationship of location-independent riskier order to the usual stochastic order ⋮ A family of premium principles based on mixtures of TVaRs ⋮ Comparison of risks based on the expected proportional shortfall ⋮ Comparison of conditional distributions in portfolios of dependent risks

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