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On sufficient conditions for the comparison of some quantile-based measures |
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| Authors: | Félix Belzunce Carolina Martínez-Riquelme |
| Affiliation: | Dpto. Estadística e Investigación Operativa, Universidad de Murcia, Facultad de Matemáticas, Espinardo, Murcia, Spain |
| Abstract: | 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. |
| Keywords: | Crossing conditions Expected proportional shortfall order Quantile-based measures Stop-loss order total time on test order. |