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lp-metric under the location-independent risk ordering of random variables

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1001 ‎$0‎MAPA20150002877‎$a‎Yang, Jianping
24510‎$a‎lp-metric under the location-independent risk ordering of random variables‎$c‎Jianping Yang, Weiwei Zhuang, Taizhong Hu
520  ‎$a‎The Lp-metric ?h,p(X) between the survival function View the MathML source of a random variable X and its distortion View the MathML source is a characteristic of the variability of X. In this paper, it is shown that if a random variable X is larger than another random variable Y in the location-independent risk order or in the excess wealth order, then ?h,p(X)=?h,p(Y) whenever p?(0,1] and the distortion function h is convex or concave. An alternative and simple proof of the corresponding known result in the literature for the dispersive order is given. Some applications are also presented.
7730 ‎$w‎MAP20077100574‎$t‎Insurance : mathematics and economics‎$d‎Oxford : Elsevier, 1990-‎$x‎0167-6687‎$g‎03/11/2014 Volumen 59 Número 1 - noviembre 2014
856  ‎$y‎MÁS INFORMACIÓN‎$u‎mailto:centrodocumentacion@fundacionmapfre.org?subject=Consulta%20de%20una%20publicaci%C3%B3n%20&body=Necesito%20m%C3%A1s%20informaci%C3%B3n%20sobre%20este%20documento%3A%20%0A%0A%5Banote%20aqu%C3%AD%20el%20titulo%20completo%20del%20documento%20del%20que%20desea%20informaci%C3%B3n%20y%20nos%20pondremos%20en%20contacto%20con%20usted%5D%20%0A%0AGracias%20%0A