Stochastic comparisons of distorted variability measures
From MaRDI portal
Publication:2276253
DOI10.1016/J.INSMATHECO.2011.01.014zbMATH Open1218.91095OpenAlexW2066097327MaRDI QIDQ2276253FDOQ2276253
Authors: Miguel A. Sordo, Alfonso Suárez-Llorens 
Publication date: 1 August 2011
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10498/14978
Recommendations
Cites Work
- Title not available (Why is that?)
- Ordering risks: expected utility theory versus Yaari's dual theory of risk
- Risk measures, distortion parameters, and their empirical estimation
- Comparison methods for stochastic models and risks
- Dispersive distributions, and the connection between dispersivity and strong unimodality
- Lorenz and Excess Wealth Orders, with Applications in Reinsurance Theory
- The Dual Theory of Choice under Risk
- Comparing tail variabilities of risks by means of the excess wealth order
- Characterizations of classes of risk measures by dispersive orders
- Subjective Probability and Expected Utility without Additivity
- Title not available (Why is that?)
- Insurance pricing and increased limits ratemaking by proportional hazards transforms
- Partial Orderings of Distributions Based on Right-Spread Functions
- Title not available (Why is that?)
- Two Variability Orders
- Four notions of mean-preserving increase in risk, risk attitudes and applications to the rank-dependent expected utility model
- New properties and characterizations of the dispersive ordering
- Tail Variance Premium with Applications for Elliptical Portfolio of Risks
- On the tail mean-variance optimal portfolio selection
- Actuarial risk measures for financial derivative pricing
- On the quantiles of the gamma and F distributions
- Title not available (Why is that?)
- Weighted premium calculation principles
- Some Extensions of a Theorem of Hardy, Littlewood and Pólya and Their Applications
- On the relationship of location-independent riskier order to the usual stochastic order
- Risk aversion in the theory of expected utility with rank dependent probabilities
- MULTIVARIATE DISPERSION ORDER AND THE NOTION OF COPULA APPLIED TO THE MULTIVARIATE t-DISTRIBUTION
- Decision principles derived from risk measures
- Dispersive ordering of distributions
- A note on the connection between the Esscher-Girsanov transform and the Wang transform
- Concepts of dispersion in distributions: a comparative note
- Preservation of the location independent risk order under convolution
- A class of location-independent variability orders, with applications
Cited In (26)
- Comparing tail variabilities of risks by means of the excess wealth order
- On a family of coherent measures of variability
- Characterizations of classes of risk measures by dispersive orders
- Comparison of increasing directionally convex transformations of random vectors with a common copula
- Stochastic ordering properties for systems with dependent identically distributed components
- Stochastic orders and co-risk measures under positive dependence
- Distortion representations of multivariate distributions
- Preservation of stochastic orders under the formation of generalized distorted distributions. Applications to coherent systems
- Cumulative information generating function and generalized Gini functions
- Stochastic comparisons and bounds for conditional distributions by using copula properties
- A new variability order based on tail-heaviness
- On a family of risk measures based on proportional hazards models and tail probabilities
- The Log-Lindley distribution as an alternative to the beta regression model with applications in insurance
- Stochastic comparisons of component and system redundancies with dependent components
- On the \(L_p\)-metric between a probability distribution and its distortion
- Dispersive orderings induced by differences of inter risk measures
- Comparisons in the mean residual life order of coherent systems with identically distributed components
- On proportional odds relevation transform and its applications
- Reliability properties of proportional hazards relevation transform
- Comparison of risks based on the expected proportional shortfall
- Testing variability orderings by using Gini's mean differences
- Some new results on the LQE ordering
- Distorted Lorenz curves: models and comparisons
- Stochastic comparisons of residual lifetimes and inactivity times of coherent systems with dependent identically distributed components
- Comparison of conditional distributions in portfolios of dependent risks
- The connection between distortion risk measures and ordered weighted averaging operators
This page was built for publication: Stochastic comparisons of distorted variability measures
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2276253)
