Denuit, Michel; Goderniaux, Anne-Cécile; Scaillet, Olivier - Swiss Finance Institute - 2005
This paper proposes a Kolmogorov-type test for the shortfall order (also known in the literature as the right-spread or excess-wealth order) against parametric alternatives. In the case of the null hypothesis corresponding to the Negative Exponential distribution, this provides a test for the...