Stochastic orders and multivariate measures of risk contagion

Ortega-Jiménez, Patricia; Sordo, Miguel Á.; Suárez‐Llorens, Alfonso

doi:10.1016/j.insmatheco.2020.11.008

Cited by 8 publications

(2 citation statements)

References 31 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…For some recent references on this order, see Castaño-Martínez et al [31], Arriaza and Sordo [32], Wu et al [33], Toomaj and Di Crescenzo [34,35], and Ortega-Jiménez et al [36]. The following result is similar to Theorem 2 but in terms of the excess wealth order, and it extends (when restricting to the case of order statistics) Theorem 3.1 of Belzunce et al [10].…”

supporting

confidence: 58%

On the Increasing Convex Order of Relative Spacings of Order Statistics

2021

Self Cite

View full text Add to dashboard Cite

Relative spacings are relative differences between order statistics. In this context, we extend previous results concerning the increasing convex order of relative spacings of two distributions from the case of consecutive spacings to general spacings. The sufficient conditions are given in terms of the expected proportional shortfall order. As an application, we compare relative deprivation within some parametric families of income distributions.

show abstract

supporting

confidence: 58%

On the Increasing Convex Order of Relative Spacings of Order Statistics

2021

Self Cite

View full text Add to dashboard Cite

show abstract

“…If the assets B and C move in the opposite direction as the hedge A, a higher degree of similarity with A intuitively reduces the risk of the diversified portfolio. An alternative method to asses the impact of B and C on the portfolio is by using measures of contagious (see Section 4 in [43]).…”

Section: An Application In Portfolio Risk Managementmentioning

confidence: 99%

Stochastic Comparisons of Some Distances between Random Variables

2021

Self Cite

View full text Add to dashboard Cite

The aim of this paper is twofold. First, we show that the expectation of the absolute value of the difference between two copies, not necessarily independent, of a random variable is a measure of its variability in the sense of Bickel and Lehmann (1979). Moreover, if the two copies are negatively dependent through stochastic ordering, this measure is subadditive. The second purpose of this paper is to provide sufficient conditions for comparing several distances between pairs of random variables (with possibly different distribution functions) in terms of various stochastic orderings. Applications in actuarial and financial risk management are given.

show abstract

Asymptotic results on marginal expected shortfalls for dependent risks

2022

Insurance: Mathematics and Economics

View full text Add to dashboard Cite

Stochastic orders and multivariate measures of risk contagion

Cited by 8 publications

References 31 publications

On the Increasing Convex Order of Relative Spacings of Order Statistics

On the Increasing Convex Order of Relative Spacings of Order Statistics

Stochastic Comparisons of Some Distances between Random Variables

Asymptotic results on marginal expected shortfalls for dependent risks

Contact Info

Product

Resources

About