New stochastic comparisons based on tail value at risk measures

被引：2

作者：

Belzunce, Felix ^{[1
]}

Franco-Pereira, Alba M. ^{[2
,3
]}

Mulero, Julio ^{[4
]}

机构：

[1] Univ Murcia Espinardo Murcia, Fac Matemat, Dept Estadist & Invest Operat, Murcia, Spain

[2] Univ Complutense Madrid, IMI, Plaza Ciencias 3, E-28040 Madrid, Spain

[3] Univ Complutense Madrid, Fac Ciencias, Dept Estadist & Invest Operat, Plaza Ciencias 3, E-28040 Madrid, Spain

[4] Univ Alicante, Fac Ciencias, Dept Matemat, Alicante, Spain

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2022年 / 51卷 / 03期

关键词：

Value at risk; residual claims; stochastic orders;

D O I：

10.1080/03610926.2020.1754857

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this article we provide a new criterion for the comparison of claims, when we have conditional claims arising in stop loss contracts or contracts with franchise deductible. These stochastic comparisons are made on the basis of the Tail Value at Risk (also known as conditional tail expectation), just for a fixed level and beyond. In particular, we explain the interest of comparing these quantities, study some preservation properties and, in addition, we provide sufficient conditions for its study. Finally we illustrate its usefulness with some examples.

引用

页码：767 / 788

页数：22

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