Characterizations of classes of risk measures by dispersive orders |
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Authors: | Miguel A Sordo |
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Institution: | aDepartamento de Estadística e Investigación Operativa, Facultad de Ciencias Económicas y Empresariales, Universidad de Cádiz, 11002 Cádiz, Spain |
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Abstract: | In this paper, a class C1 of risk measures, which generalizes the class of risk measures for the right-tail deviation suggested by Wang Wang, S., 1998. An actuarial index of the right-tail risk. North Amer. Actuarial J. 2, 88–101], is characterized in terms of dispersive order. If dispersive order does not hold, unanimous comparisons are still possible by restricting our attention to a subclass C2 C1 and then the criterion is the excess-wealth order. Sufficient conditions for stochastic equivalence of excess-wealth ordered random variables are derived in terms of some particular measures of C2. |
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Keywords: | Dispersive order Excess-wealth order Risk measures Gini mean difference Wang’ s right-tail deviation |
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