Centro de Documentacion de Fundación MAPFRE - Comparison of risks based on the expected proportional shortfall

Notes: Sumario: 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.Related records: En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 03/09/2012 Volumen 51 Número 2 - septiembre 2012 , p. 292-302Materia / lugar / evento: Análisis de riesgos Cálculos Matemática del seguro Estudios comparativos Other categories: 6

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