Stochastic Comparisons of Some Distances between Random Variables

被引：8
|
作者：
Ortega-Jimenez, Patricia [1 ]
Sordo, Miguel A. [1 ]
Suarez-Llorens, Alfonso [1 ]
机构：
[1] Univ Cadiz, Fac Ciencias, Dept Estadist & IO, Cadiz 11002, Spain
来源：
MATHEMATICS | 2021年 / 9卷 / 09期
关键词：
stochastic order; copula; distance; variability measure; premium principle; RISK MEASURES; COPULA; FAMILY; DEPENDENCE; ORDERINGS; MODELS;
D O I：
10.3390/math9090981
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
The aim of this paper is twofold. First, we show that the expectation of the absolute value of the difference between two copies, not necessarily independent, of a random variable is a measure of its variability in the sense of Bickel and Lehmann (1979). Moreover, if the two copies are negatively dependent through stochastic ordering, this measure is subadditive. The second purpose of this paper is to provide sufficient conditions for comparing several distances between pairs of random variables (with possibly different distribution functions) in terms of various stochastic orderings. Applications in actuarial and financial risk management are given.
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页数：14
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