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Testing for the order of risk measures: an application of L-statistics in actuarial science

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  • Bruce L. Jones
  • Ricardas Zitikis

Abstract

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Suggested Citation

  • Bruce L. Jones & Ricardas Zitikis, 2005. "Testing for the order of risk measures: an application of L-statistics in actuarial science," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(2), pages 193-211.
  • Handle: RePEc:mtn:ancoec:050203
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    File URL: ftp://metron.sta.uniroma1.it/RePEc/articoli/2005-2-193-211.pdf
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    References listed on IDEAS

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    1. Horvath, Lajos & Kokoszka, Piotr & Zitikis, Ricardas, 2006. "Testing for stochastic dominance using the weighted McFadden-type statistic," Journal of Econometrics, Elsevier, vol. 133(1), pages 191-205, July.
    2. Wang, Shaun S. & Young, Virginia R., 1998. "Ordering risks: Expected utility theory versus Yaari's dual theory of risk," Insurance: Mathematics and Economics, Elsevier, vol. 22(2), pages 145-161, June.
    3. Kouros Owzar & Pranab Kumar Sen, 2003. "Copulas: concepts and novel applications," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(3), pages 323-353.
    4. Denneberg, Dieter, 1990. "Premium Calculation: Why Standard Deviation Should be Replaced by Absolute Deviation," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 20(02), pages 181-190, November.
    5. Agostino Tarsitano, 2004. "A new class of inequality measures based on a ratio of L-statistics," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(1), pages 137-160.
    6. Shaun, Wang, 1995. "Insurance pricing and increased limits ratemaking by proportional hazards transforms," Insurance: Mathematics and Economics, Elsevier, vol. 17(1), pages 43-54, August.
    7. Wang, Shaun S. & Young, Virginia R. & Panjer, Harry H., 1997. "Axiomatic characterization of insurance prices," Insurance: Mathematics and Economics, Elsevier, vol. 21(2), pages 173-183, November.
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    Citations

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    Cited by:

    1. Peng, Liang & Qi, Yongcheng & Wang, Ruodu & Yang, Jingping, 2012. "Jackknife empirical likelihood method for some risk measures and related quantities," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 142-150.
    2. Darolles, Serge & Gourieroux, Christian & Jasiak, Joann, 2009. "L-performance with an application to hedge funds," Journal of Empirical Finance, Elsevier, vol. 16(4), pages 671-685, September.
    3. Jones, Bruce L. & Zitikis, Ricardas, 2007. "Risk measures, distortion parameters, and their empirical estimation," Insurance: Mathematics and Economics, Elsevier, vol. 41(2), pages 279-297, September.
    4. Edna Schechtman & Ricardas Zitikis, 2006. "Gini indices as areas and covariances: what is the difference between the two representations?," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(3), pages 385-397.
    5. Landsman, Zinoviy & Vanduffel, Steven, 2011. "Bounds for some general sums of random variables," Statistics & Probability Letters, Elsevier, vol. 81(3), pages 382-391, March.
    6. Jones, Bruce L. & Puri, Madan L. & Zitikis, Ricardas, 2006. "Testing hypotheses about the equality of several risk measure values with applications in insurance," Insurance: Mathematics and Economics, Elsevier, vol. 38(2), pages 253-270, April.
    7. Furman, Edward & Zitikis, Ricardas, 2008. "Weighted premium calculation principles," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 459-465, February.
    8. Samanthi, Ranadeera Gamage Madhuka & Wei, Wei & Brazauskas, Vytaras, 2016. "Ordering Gini indexes of multivariate elliptical risks," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 84-91.
    9. Necir, Abdelhakim & Meraghni, Djamel, 2009. "Empirical estimation of the proportional hazard premium for heavy-tailed claim amounts," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 49-58, August.

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