M. Á. Sordo, A. Castaño Martínez, C. Ramos González, G. Pigueiras Voces
In the context of Yaari's dual theory of risk, Wang and Young (1998) provided motivation, both from the economic and statistical approaches, for a sequence of distortion-free partial orderings of risks. However, this approach may be inadequate to compare behaviours of strong risk aversion, where the agents are mainly concerned with losses above some threshold value. Our purpose is to overlap this gap and provide motivation, both from economic and statistical approaches, for weaker distortion-free partial ordering of risks when the agents behavior is focussed on aversion to very large losses.
Palabras clave: stochastic order, stop-loss, distortion risk measure
Programado
GT12 Ordenaciones Estocásticas y sus Aplicaciones III
8 de junio de 2022 17:20
A05
