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Comparison of risks based on the expected proportional shortfall
Belzunce, Félix; Pinar, José F.; Ruiz, José M.; … - In: Insurance / Mathematics & economics 51 (2012) 2, pp. 292-302
Persistent link: https://www.econbiz.de/10009669659
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A new stochastic dominance criterion for dependent random variables with applications
Belzunce, Félix; Martinez-Riquelme, Carolina - In: Insurance / Mathematics & economics 108 (2023), pp. 165-176
Persistent link: https://www.econbiz.de/10013534518
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Probability equivalent level for CoVaR and VaR
Ortega-Jiménez, Patricia; Pellerey, Franco; Sordo, … - In: Insurance : mathematics and economics 115 (2024), pp. 22-35
Persistent link: https://www.econbiz.de/10015066724
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Comparison of conditional distributions in portfolios of dependent risks
Sordo, Miguel A.; Suárez-Llorens, Alfonso; Bello, … - In: Insurance / Mathematics & economics 61 (2015), pp. 62-69
Persistent link: https://www.econbiz.de/10010515927