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Comparison of risks based on the expected proportional shortfall

  • Published:2012-09 Issue:2 Volume:51 Page:292-302
  • ISSN:0167-6687
  • Container-title:Insurance: Mathematics and Economics
  • language:en
  • Short-container-title:Insurance: Mathematics and Economics

Author:

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

Funder

Ministerio de Educación y Ciencia

Fundación Séneca

Consejería de Economía Innovación y Ciencia

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference19 articles.

1. Statistics of Extremes. Theory and Applications;Beirlant,2004

2. Ordering and asymptotic properties of residual income distributions;Belzunce;Sankhyā: The Indian Journal of Statistics,1998

3. Actuarial Theory for Dependent Risks. Measures, Orders and Models;Denuit,2005

4. Lorenz and excess wealth orders, with applications in reinsurance theory;Denuit;Scandinavian Actuarial Journal,1999

5. Empirical estimation of risk measures and related quantities;Jones;North American Actuarial Journal,2003

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