New stochastic comparisons based on tail value at risk measures

Abstract

In this article we provide a new criterion for the comparison of claims, when we have conditional claims arising in stop loss contracts or contracts with franchise deductible. These stochastic comparisons are made on the basis of the Tail Value at Risk (also known as conditional tail expectation), just for a fixed level and beyond. In particular, we explain the interest of comparing these quantities, study some preservation properties and, in addition, we provide sufficient conditions for its study. Finally we illustrate its usefulness with some examples.

KEYWORDS:

• Value at risk
• residual claims
• stochastic orders

Additional information

Funding

The research of Félix Belzunce is funded by the Ministerio de Economía, Industria y Competitividad (Spain) under grant MTM2016-79943-P (AEI/FEDER, UE). Alba M. Franco-Pereira acknowledges support received from the Ministerio de Economía y Competitividad (Spain) under grant MTM2017-89422-P and has received financial support from the Xunta de Galicia (Centro Singular de Investigación de Galicia accreditation 2016-2019) and the European Union (European Regional Development Fund - ERDF). She also acknowledges funding from Banco Santander and Complutense University of Madrid (project PR26/16-5B-1). Julio Mulero wants to acknowledge the support received from the Conselleria d’Educació, Investigació, Cultura i Esport (Generalitat de la Comunitat Valenciana) under grant GV/2017/015 and the Ministerio de Economía, Industria y Competitividad (Spain) under grant MTM2016-79943-P (AEI/FEDER, UE).