Dispersive orderings induced by differences of inter risk measures

DOI10.1017/JPR.2022.49MaRDI QIDQ5881006zbMATH OpenOpenAlexFDO

Authors Weiwei Zhuang, Taizhong Hu

Publication date 9 March 2023

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/jpr.2022.49

zbMATH Keywords

convex orderdilation orderdispersive orderexpected shortfall-dispersive orderexpectile-dispersive order

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Statistical methods; risk measures (91G70)

Recommendations

• Dispersion-type variability orders
• Parametric measures of variability induced by risk measures
• Dispersion measures and dispersive orderings.
• Characterizations of classes of risk measures by dispersive orders
• Stochastic comparisons of distorted variability measures

Cites work

• A characterization of the dilation order and its applications
• Characterization, robustness, and aggregation of signed Choquet integrals
• Comparison methods for stochastic models and risks
• Concepts of dispersion in distributions: a comparative note
• Descriptive statistics for non-parametric models. III: Dispersion
• Dispersion-type variability orders
• Dispersive ordering of distributions
• Early sample measures of variability.
• Expectiles, omega ratios and stochastic ordering
• Expectile‐based measures of skewness
• Generalized quantiles as risk measures
• scientific article; zbMATH DE number 605729 (Why is no real title available?)
• Parametric measures of variability induced by risk measures

Cited in

(6)

• Expectiles, omega ratios and stochastic ordering
• Parametric measures of variability induced by risk measures
• Stochastic comparisons of distorted variability measures
• A multivariate IFR notion based on the multivariate dispersive ordering
• Stochastic orders and measures of skewness and dispersion based on expectiles
• Characterizations of classes of risk measures by dispersive orders

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