On sufficient conditions for the comparison of some quantile-based measures

In this article, we focus on characterizations and sufficient conditions for the comparison of some quantile-based measures. Mainly we focus on crossing conditions and changes of monotonicity of the quantile functions. The results are given for the comparison of the tail value at risk, total time on...

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Bibliographic Details
Published in:Communications in statistics. Theory and methods 2017-07, Vol.46 (13), p.6512-6527
Main Authors: Belzunce, Félix, Martínez-Riquelme, Carolina
Format: Article
Language:English
Subjects:
Crossing conditions
Economic models
Expected proportional shortfall order
Quantile-based measures
Quantiles
Regression analysis
Risk
Statistical methods
Statistics
Stop-loss order
Time measurement
total time on test order
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Summary:In this article, we focus on characterizations and sufficient conditions for the comparison of some quantile-based measures. Mainly we focus on crossing conditions and changes of monotonicity of the quantile functions. The results are given for the comparison of the tail value at risk, total time on test, and the expected proportional shortfall measures.
ISSN:0361-0926
1532-415X
DOI:10.1080/03610926.2015.1129421