Characterizations of classes of risk measures by dispersive orders

Abstract

In this paper, a class C of risk measures, which generalizes the class of risk measures for the right-tail deviation suggested by Wang (1998), is characterized in terms of dispersive order. If dispersive order does not hold, unanimous comparisons are still possible by restricting our attention to a subclass of C and then the criterion is the excess wealth order. Sufficient conditions for stochastic equivalence of excess wealth ordered random variables are derived in terms of some particular measures of this subclass.Ministerio de Educación y Ciencia (grant SEJ2005-06678