Comparison of risks based on the expected proportional shortfall

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      <subfield code="a">Comparison of risks based on the expected proportional shortfall</subfield>
      <subfield code="c">F. Belzunce...[et.al]</subfield>
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      <subfield code="a">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.</subfield>
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      <subfield code="t">Insurance : mathematics and economics</subfield>
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      <subfield code="g">03/09/2012 Volumen 51 Número 2  - septiembre 2012 , p. 292-302</subfield>
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