Comparing tail variabilities of risks by means of the excess wealth order
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Publication:659172
DOI10.1016/J.INSMATHECO.2009.10.001zbMATH Open1231.91238OpenAlexW1989160696MaRDI QIDQ659172FDOQ659172
Authors: Miguel A. Sordo 
Publication date: 10 February 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10498/14974
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Cites Work
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- Title not available (Why is that?)
Cited In (18)
- Characterizations of classes of risk measures by dispersive orders
- Tail variance of portfolio under generalized Laplace distribution
- Comparison of increasing directionally convex transformations of random vectors with a common copula
- Stochastic orders and co-risk measures under positive dependence
- Statistical inference for tail-based cumulative residual entropy
- Stochastic comparisons of distorted variability measures
- On sufficient conditions for the comparison in the excess wealth order and spacings
- A new variability order based on tail-heaviness
- On a family of risk measures based on proportional hazards models and tail probabilities
- Robust optimization in simulation: Taguchi and Krige combined
- Relation between cumulative residual entropy and excess wealth transform with applications to reliability and risk
- On the second-order excess wealth order and its properties
- The tail behavior of the convolutions of Gamma random variables
- Comparison of risks based on the expected proportional shortfall
- Testing variability orderings by using Gini's mean differences
- Auditing Shaked and Shanthikumar's `excess wealth'
- Comparison of conditional distributions in portfolios of dependent risks
- Some results for the comparison of generalized order statistics in the total time on test and excess wealth orders
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