English

On partial stochastic comparisons based on tail values at risk

Statistics Theory 2024-12-12 v1 Statistics Theory

Abstract

In risk theory, financial asset returns often follow heavy-tailed distributions. Investors and risk managers used to compare risk measures as the value at risk or tail value at risk in order over the whole confidence levels to avoid the exposure to to large risks. In this paper we analyze the comparison between tail values at risk from a confidence level and beyond which is a reasonable criterion when we are focused on large losses or simply we cannot give a complete ordering over all the confidence levels. A family of stochastic orders indexed by p0(0,1)p_0\in(0,1) is proposed. We study their properties and connections with other classical criteria as the increasing convex and tail convex orders and we rank some parametrical families of distributions. Finally, two applications with real datasets are given as well.

Keywords

Cite

@article{arxiv.2412.08440,
  title  = {On partial stochastic comparisons based on tail values at risk},
  author = {Alfonso J. Bello and Julio Mulero and Miguel A. Sordo and Alfonso Suárez-Llorens},
  journal= {arXiv preprint arXiv:2412.08440},
  year   = {2024}
}

Comments

14 pages, 5 figures

R2 v1 2026-06-28T20:31:02.838Z