New stochastic comparisons based on tail value at risk measures

Félix Belzunce, Alba M. Franco-Pereira and Julio Mulero

Communications in Statistics - Theory and Methods, 2022, vol. 51, issue 3, 767-788

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.

Date: 2022
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/03610926.2020.1754857 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:lstaxx:v:51:y:2022:i:3:p:767-788

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/lsta20

DOI: 10.1080/03610926.2020.1754857

Access Statistics for this article

Communications in Statistics - Theory and Methods is currently edited by Debbie Iscoe

More articles in Communications in Statistics - Theory and Methods from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().