Comparing tail variabilities of risks by means of the excess wealth order
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Cites work
- scientific article; zbMATH DE number 3646134 (Why is no real title available?)
- scientific article; zbMATH DE number 3333061 (Why is no real title available?)
- Characterizations of classes of risk measures by dispersive orders
- Comparison methods for stochastic models and risks
- Concepts of dispersion in distributions: a comparative note
- Dispersion measures and dispersive orderings.
- Dispersive distributions, and the connection between dispersivity and strong unimodality
- Dispersive ordering of distributions
- Dual Stochastic Dominance and Quantile Risk Measures
- Dual Stochastic Dominance and Related Mean-Risk Models
- Four notions of mean-preserving increase in risk, risk attitudes and applications to the rank-dependent expected utility model
- Lorenz and Excess Wealth Orders, with Applications in Reinsurance Theory
- New properties and characterizations of the dispersive ordering
- On the quantiles of the gamma and F distributions
- On the relationship of location-independent riskier order to the usual stochastic order
- On the tail mean-variance optimal portfolio selection
- Partial Orderings of Distributions Based on Right-Spread Functions
- Preservation of the location independent risk order under convolution
- Risk Measures and Comonotonicity: A Review
- STOCHASTIC EQUIVALENCE OF CONVEX ORDERED DISTRIBUTIONS AND APPLICATIONS
- Stochastic Dominance
- Stochastic orders
- Tail Variance Premium with Applications for Elliptical Portfolio of Risks
- Tail conditional variance for elliptically contoured distributions
- Two Variability Orders
- Weighted premium calculation principles
Cited in
(23)- Characterizations of classes of risk measures by dispersive orders
- Tail variance of portfolio under generalized Laplace distribution
- Two stochastic dominance criteria based on tail comparisons
- 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
- Sensitivity analysis and tail variability for the Wang's actuarial index
- A new variability order based on tail-heaviness
- On a family of risk measures based on proportional hazards models and tail probabilities
- Adjusted higher-order expected shortfall
- Robust optimization in simulation: Taguchi and Krige combined
- Relation between cumulative residual entropy and excess wealth transform with applications to reliability and risk
- Parametric measures of variability induced by risk measures
- On sufficient conditions for the comparison of some quantile-based measures
- The tail behavior of the convolutions of Gamma random variables
- On the second-order excess wealth order and its properties
- 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'
- Some results for the comparison of generalized order statistics in the total time on test and excess wealth orders
- Comparison of conditional distributions in portfolios of dependent risks
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