G. Pigueiras Voces, M. Á. Sordo, A. Castaño Martínez, C. Ramos

In Yaari's (1987) dual theory of choice under risk, risks preferences are based on a
functional that depends on a subjective function called distortion. In the context of
Wang's (1996) premium principle, Wang and Young (1998) considered a sequence of
classes of partial orderings of risk distributions characterizing the preferences of
groups of risk averse agents that base decisions on this functional. Under this
approach, if a distribution is perceived as less risky than another, the mean of the
former is smaller or equal to the latter's, making some risk distributions of interest noncomparable.
In this paper, we study a sequence of partial orders of risk distributions
based on comparisons of successive integrals of TVaR curves that characterize the
preferences of groups of agents exclusively concerned with large risks higher than the
expected values.

Keywords: risk, premium principle, stochastic order, tail-value at risk


GT14.ORDEN1 Session in honor of Prof. Miguel López Díaz
November 7, 2023  6:40 PM
CC3: Room 1

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