Characterizations of classes of risk measures by dispersive orders
نویسنده
چکیده
In this paper, a class C1 of risk measures, which generalizes the class of risk measures for the right-tail deviation suggested by Wang (1998), is characterized in terms of dispersive order. If dispersive order does not hold, unanimous comparisons are still possible by restricting our attention to a subclass C2 ⊂ C1 and then the criterion is the excess wealth order. Sufficient conditions for stochastic equivalence of excess wealth ordered random variables are derived in terms of some particular measures of C2.
منابع مشابه
Stochastic comparisons of distorted variability measures
In this paper, we consider the dispersive order and the excess wealth order to compare the variability of distorted distributions. We know from Sordo (2009a) that the excess wealth order can be characterized in terms of a class of variability measures associated to the tail conditional distribution which includes, as a particular measure, the tail variance. Given that the tail conditional distr...
متن کاملDispersive Ordering and k-out-of-n Systems
Extended Abstract. The simplest and the most common way of comparing two random variables is through their means and variances. It may happen that in some cases the median of X is larger than that of Y, while the mean of X is smaller than the mean of Y. However, this confusion will not arise if the random variables are stochastically ordered. Similarly, the same may happen if one would like to ...
متن کاملInductive Characterizations of Finite Interval Orders and Semiorders
We introduce an inductive definition for two classes of orders. By simple proofs, we show that one corresponds to the interval orders class and that the other is exactly the semiorders class. To conclude we consider most of the known equivalence theorems on interval orders and on semiorders, and we give simple and direct inductive proofs of these equivalences with ours characterizations.
متن کاملCharacterizations of Inequality Orderings by Means of Dispersive Orderings
The generalized Lorenz order and the absolute Lorenz order are used in economics to compare income distributions in terms of social welfare. In Section 2, we show that these orders are equivalent to two stochastic orders, the concave order and the dilation order, which are used to compare the dispersion of probability distributions. In Section 3, a sufficient condition for the absolute Lorenz o...
متن کاملSupplier Selection and Order Allocation under Risk: Iranian Oil and Gas Drilling Companies
This paper addresses supplier selection and order allocation problem while considering the losses arising from the risk of sanction in Iran’s Oil & Gas Drilling Industry. In the proposed study, two general classes of items and two different classes of suppliers are considered. AHP is first used to rank the potential suppliers. Then, a multi-objective linear programming model is proposed t...
متن کامل