Comparison of risks based on the expected proportional shortfall

In this paper, we consider a new criterion to compare risks based on the notion of expected proportional shortfall. This criterion is useful for comparing risks of different nature and does not depend on the base currency. We study its relationships with other criteria and provide some characterizat...

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Bibliographic Details
Published inInsurance, mathematics & economics Vol. 51; no. 2; pp. 292 - 302
Main Authors Belzunce, Félix, Pinar, José F., Ruiz, José M., Sordo, Miguel A.
Format Journal Article
LanguageEnglish
Published Amsterdam Elsevier B.V 01.09.2012
Elsevier Sequoia S.A
Subjects
Comparative analysis
Comparison of risks
Currency substitution
Expected shortfall
Financial risks
Insurance
Mathematical economics
Mathematical models
Portfolio management
Risk assessment
Risk measures
Risk theory
Studies
IM30
Comparison of risks
Risk measures
G32
Expected shortfall
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Summary:In this paper, we consider a new criterion to compare risks based on the notion of expected proportional shortfall. This criterion is useful for comparing risks of different nature and does not depend on the base currency. We study its relationships with other criteria and provide some characterizations that highlight the role of this new criterion in the context of comparisons of risks. ► We propose a new measure of risk called the expected proportional shortfall. ► The new measure is used to propose a new criterion to compare risks of different nature. ► Characterizations and an application to some real data sets are given to show the relevance of this new criterion.
Bibliography:ObjectType-Article-2
SourceType-Scholarly Journals-1
ObjectType-Feature-1
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ISSN:0167-6687
1873-5959
DOI:10.1016/j.insmatheco.2012.05.003