Comparison of risks based on the expected proportional shortfall

Félix Belzunce, José F. Pinar, José M. Ruiz and Miguel A. Sordo

Insurance: Mathematics and Economics, 2012, vol. 51, issue 2, 292-302

Abstract: In this paper, we consider a new criterion to compare risks based on the notion of expected proportional shortfall. This criterion is useful for comparing risks of different nature and does not depend on the base currency. We study its relationships with other criteria and provide some characterizations that highlight the role of this new criterion in the context of comparisons of risks.

Keywords: Risk measures; Comparison of risks; Expected shortfall (search for similar items in EconPapers)
JEL-codes: G32 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:51:y:2012:i:2:p:292-302

DOI: 10.1016/j.insmatheco.2012.05.003

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