Stochastic orders and distortion risk contribution ratio measures

Zhang, Yiying

2024-09-01

10.1016/j.insmatheco.2024.06.007

INSURANCE MATHEMATICS & ECONOMICS   影响因子和分区

0167-6687

1873-5959

Relative spillover effects play a crucial role in the analysis and comparison of systemic risks. This paper introduces a novel approach, referred to as distortion risk contribution ratio measures, for quantifying such effects. Various types of contribution ratio measures are defined based on the newly proposed conditional distortion risk measures by Dhaene et al. (2022), and useful integral -based representations are provided as well. An interesting equivalent characterization result for the convex transform order is also presented, which is not only relevant to proving our main results but also has independent value in other research areas. We then establish comparison results between the distortion risk contribution ratio measures of two different bivariate random vectors with either the same or different copulas. Sufficient conditions are established in terms of stochastic orders, copula functions, distortion functions, and stress levels. Furthermore, we investigate the ordering behaviors of these measures in relation to the interaction between paired risks. Numerical examples are presented to illustrate the conditions and main findings.

Risk contribution Ratio measure Systemic risk Convex transform order Star order Copula

SCI ; SSCI

英语

第一 ; 通讯

National Natural Science Foundation of China["12101336","72311530687"] ; Guangdong Basic and Applied Basic Research Foun-dation[2023A1515011806] ; Shenzhen Science and Tech-nology Program[JCYJ20230807093312026]

Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences

Economics ; Mathematics, Interdisciplinary Applications ; Social Sciences, Mathematical Methods ; Statistics & Probability

WOS:001264058500001

ELSEVIER

ECONOMICS BUSINESS

Web of Science

Southern Univ Sci & Technol, Dept Math, Shenzhen, Peoples R China

Zhang, Yiying. Stochastic orders and distortion risk contribution ratio measures[J]. INSURANCE MATHEMATICS & ECONOMICS,2024,118.

Zhang, Yiying.(2024).Stochastic orders and distortion risk contribution ratio measures.INSURANCE MATHEMATICS & ECONOMICS,118.

Zhang, Yiying."Stochastic orders and distortion risk contribution ratio measures".INSURANCE MATHEMATICS & ECONOMICS 118(2024).