Comparison results of range-based quantities in the classical risk models

Mohamed Amine Lkabous and Mengni Yang

Statistics & Probability Letters, 2025, vol. 223, issue C

Abstract: In this paper, we investigate the range-based risk quantities in classical risk models. Specifically, we present some comparison results with respect to the stochastic ordering. We also propose some range-based VaR-type risk measures and study their properties, providing insights into their practical applications and implications for risk management.

Keywords: Ordering of risks; Range process; Classical risk model (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1016/j.spl.2025.110428

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