Summary
The original dispersion order is extended to a higher degree dispersion order. Identifying it with a higher degree stop-loss transform order and with higher degree right spread orders, we obtain a three-fold generalization of the characterization of the original right spread order in Belzunce (1999). An application to the comparison of value-at-risk for insurance contracts is given.
Zusammenfassung
Die ursprüngliche Dispersion Ordnung wird zu Ordnungen eines höheren Grades erweitert. Die Identifizierung mit Ordnungen von Stop-Loss Transformierten und Ordnungen von rechten Ausdehnungen ergibt eine dreifache Verallgemeinerung der ursprünglichen Ordnung in Belzunce (1999). Der Vergleich von Value-at-Risk für Versicherungsverträge ist eine mögliche Anwendung.
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Hürlimann, W. Characterization of higher-degree dispersion, right spread and stop-loss transform orders. Blätter DGVFM 25, 750–755 (2002). https://doi.org/10.1007/BF02808479
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DOI: https://doi.org/10.1007/BF02808479