Distorted stochastic dominance: a generalized family of stochastic orders
From MaRDI portal
Publication:2201711
DOI10.1016/J.JMATECO.2020.07.005zbMATH Open1451.91043arXiv1909.04767OpenAlexW3045763401MaRDI QIDQ2201711FDOQ2201711
Lucio Bertoli-Barsotti, Tommaso Lando
Publication date: 17 September 2020
Published in: Journal of Mathematical Economics (Search for Journal in Brave)
Abstract: We study a generalized family of stochastic orders, semiparametrized by a distortion function H, namely H-distorted stochastic dominance, which may determine a continuum of dominance relations from the first- to the second-order stochastic dominance (and beyond). Such a family is especially suitable for representing a decision maker's preferences in terms of risk aversion and may be used in those situations in which a strong order does not have enough discriminative power, whilst a weaker one is poorly representative of some classes of decision makers. In particular, we focus on the class of power distortion functions, yielding power-distorted stochastic dominance, which seems to be particularly appealing owing to its computational simplicity and some interesting statistical interpretations. Finally, we characterize distorted stochastic dominance in terms of distortion functions yielding isotonic classes of distorted expectations.
Full work available at URL: https://arxiv.org/abs/1909.04767
Cites Work
- Inequalities: theory of majorization and its applications
- Title not available (Why is that?)
- Ordering risks: expected utility theory versus Yaari's dual theory of risk
- The Dual Theory of Choice under Risk
- Stochastic orders
- Characterization of stochastic orders by \(L\)-functionals
- The Efficiency Analysis of Choices Involving Risk
- Generalized L-, M-, and R-statistics
- Ethically flexible Gini indices for income distributions in the continuum
- Stochastic dominance and prospect dominance with subjective weighting functions
- On the use of capacities in modeling uncertainty aversion and risk aversion
- Second Degree Stochastic Dominance with Respect to a Function
- Some Extensions of a Theorem of Hardy, Littlewood and Pólya and Their Applications
- A note on stochastic dominance and inequality measures
- Yaari's dual theory without the completeness axiom
- Preferred by “All” and Preferred by “Most” Decision Makers: Almost Stochastic Dominance
- Title not available (Why is that?)
- Title not available (Why is that?)
- Continua of stochastic dominance relations for unbounded probability distributions
- Continua of stochastic dominance relations for bounded probability distributions
- Generalized Almost Stochastic Dominance
- Second-order stochastic dominance for decomposable multiparametric families with applications to order statistics
- Inverse stochastic orders and generalized Gini functionals
Cited In (6)
- Transform orders and stochastic monotonicity of statistical functionals
- Note on lexicographic-order preservation and stochastic dominance
- Stochastic dominance relations for generalised parametric distributions obtained through composition
- Comparison of higher degree stop-loss transforms
- Second-order stochastic comparisons of order statistics
- On a stochastic order induced by an extension of Panjer's family of discrete distributions
Recommendations
- Almost Higher Order Stochastic Dominance 👍 👎
- Stochastic dominance of higher orders and its implications 👍 👎
- A general family of univariate stochastic orders 👍 👎
- The non-integer higher-order stochastic dominance 👍 👎
- On a stochastic order induced by an extension of Panjer's family of discrete distributions 👍 👎
- Stochastic dominance in an ordinal world 👍 👎
- A note on the family of extremality stochastic orders 👍 👎
- Generalized Almost Stochastic Dominance 👍 👎
This page was built for publication: Distorted stochastic dominance: a generalized family of stochastic orders
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2201711)
