Characterizations of classes of risk measures by dispersive orders

Miguel A. Sordo

Insurance: Mathematics and Economics, 2008, vol. 42, issue 3, 1028-1034

Abstract: In this paper, a class C1 of risk measures, which generalizes the class of risk measures for the right-tail deviation suggested by Wang [Wang, S., 1998. An actuarial index of the right-tail risk. North Amer. Actuarial J. 2, 88-101], 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[subset of]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.

Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:42:y:2008:i:3:p:1028-1034

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