A new variability order based on tail-heaviness

作者：Sordo Miguel A; de Souza Marilia C; Suarez Llorens Alfonso^*

来源：Statistics, 2015, 49(5): 1042-1061.

DOI：10.1080/02331888.2014.946930

• dispersive order
• variability orders
• tail-heaviness
• tail risk
• risk measure
• risk capital
• aversion functions
• weighted premiums

In this paper, we introduce a new variability order that can be interpreted in terms of tail-heaviness which we will call the tail dispersive order. We provide the new definition, its interpretation and properties and the main characterization. We also study the relationship with other classical variability orders. Finally, we study the tail dispersive order in some classical parametric families and provide some applications in insurance and finance. We conclude with a numerical example applied to log returns distributions.

• 出版日期2015-9-3