Comparing tail variabilities of risks by means of the excess wealth order
There is a growing interest in the actuarial community in employing certain tail conditional characteristics as measures of risk, which are informative about the variability of the losses beyond the value-at-risk (one example is the tail conditional variance, introduced byÂ Furman and Landsman (2006a, 2006b)). However, comparisons of tail risks based on different measures may not always be consistent. In addition, conclusions based on these conditional characteristics depend on the choice of the tail probability p, so different p's also may produce contradictory conclusions. In this note, we suggest comparing tail variabilities of risks by means of the excess wealth order, which makes judgments only if large classes of tail conditional characteristics imply the same conclusion, independently of the choice of p.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Hu, Taizhong & Chen, Jing & Yao, Junchao, 2006. "Preservation of the location independent risk order under convolution," Insurance: Mathematics and Economics, Elsevier, vol. 38(2), pages 406-412, April.
- Chateauneuf, Alain & Cohen, Michele & Meilijson, Isaac, 2004.
"Four notions of mean-preserving increase in risk, risk attitudes and applications to the rank-dependent expected utility model,"
Journal of Mathematical Economics,
Elsevier, vol. 40(5), pages 547-571, August.
- Alain Chateauneuf & Michèle Cohen & Isaac Meilijson, 2004. "Four notions of mean preserving increase in risk, risk attitudes and applications to the Rank-Dependent Expected Utility model," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00212281, HAL.
- Newbery, David, 1970. "A theorem on the measurement of inequality," Journal of Economic Theory, Elsevier, vol. 2(3), pages 264-266, September.
- Rojo, Javier & He, Guo Zhong, 1991. "New properties and characterizations of the dispersive ordering," Statistics & Probability Letters, Elsevier, vol. 11(4), pages 365-372, April.
- Sordo, Miguel A., 2009. "On the relationship of location-independent riskier order to the usual stochastic order," Statistics & Probability Letters, Elsevier, vol. 79(2), pages 155-157, January.
- Furman, Edward & Landsman, Zinoviy, 2006. "Tail Variance Premium with Applications for Elliptical Portfolio of Risks," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 36(02), pages 433-462, November.
- Sordo, Miguel A., 2008. "Characterizations of classes of risk measures by dispersive orders," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1028-1034, June.
- Furman, Edward & Zitikis, Ricardas, 2008. "Weighted premium calculation principles," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 459-465, February.
- Ramos, Héctor M. & Sordo, Miguel A., 2003. "Dispersion measures and dispersive orderings," Statistics & Probability Letters, Elsevier, vol. 61(2), pages 123-131, January.
- Carole Bernard & Weidong Tian, 2009. "Optimal Reinsurance Arrangements Under Tail Risk Measures," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(3), pages 709-725.
When requesting a correction, please mention this item's handle: RePEc:eee:insuma:v:45:y:2009:i:3:p:466-469. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.