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New stochastic comparisons based on tail value at risk measures

Author

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  • Félix Belzunce
  • Alba M. Franco-Pereira
  • Julio Mulero

Abstract

In this article we provide a new criterion for the comparison of claims, when we have conditional claims arising in stop loss contracts or contracts with franchise deductible. These stochastic comparisons are made on the basis of the Tail Value at Risk (also known as conditional tail expectation), just for a fixed level and beyond. In particular, we explain the interest of comparing these quantities, study some preservation properties and, in addition, we provide sufficient conditions for its study. Finally we illustrate its usefulness with some examples.

Suggested Citation

  • Félix Belzunce & Alba M. Franco-Pereira & Julio Mulero, 2022. "New stochastic comparisons based on tail value at risk measures," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 51(3), pages 767-788, February.
    • Handle: RePEc:taf:lstaxx:v:51:y:2022:i:3:p:767-788
    DOI: 10.1080/03610926.2020.1754857
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