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Comparison results of range-based quantities in the classical risk models

Comparison results of range-based quantities in the classical risk models
Comparison results of range-based quantities in the classical risk models

In this paper, we investigate the range-based risk quantities in classical risk models. Specifically, we present some comparison results with respect to the stochastic ordering. We also propose some range-based VaR-type risk measures and study their properties, providing insights into their practical applications and implications for risk management.

Classical risk models, Ordering of risks, range, Range process, Classical risk model
0167-7152
Lkabous, Mohamed Amine
c511ddd2-2517-471b-bd73-8d8b7ab74a1b
Yang, Mengni
b6bcd9a1-1a08-4de9-b975-fc4be423c52b
Lkabous, Mohamed Amine
c511ddd2-2517-471b-bd73-8d8b7ab74a1b
Yang, Mengni
b6bcd9a1-1a08-4de9-b975-fc4be423c52b

Lkabous, Mohamed Amine and Yang, Mengni (2025) Comparison results of range-based quantities in the classical risk models. Statistics & Probability Letters, 223, [110428]. (doi:10.1016/j.spl.2025.110428).

Record type: Article

Abstract

In this paper, we investigate the range-based risk quantities in classical risk models. Specifically, we present some comparison results with respect to the stochastic ordering. We also propose some range-based VaR-type risk measures and study their properties, providing insights into their practical applications and implications for risk management.

Text
Range_of_ascending_ladder_heights_v2 - Accepted Manuscript
Restricted to Repository staff only until 11 April 2027.
Available under License Creative Commons Attribution Non-commercial No Derivatives.
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More information

Accepted/In Press date: 28 March 2025
e-pub ahead of print date: 11 April 2025
Published date: 18 April 2025
Keywords: Classical risk models, Ordering of risks, range, Range process, Classical risk model
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Identifiers

Local EPrints ID: 501948
URI: http://eprints.soton.ac.uk/id/eprint/501948
DOI: doi:10.1016/j.spl.2025.110428
ISSN: 0167-7152
PURE UUID: b3c83ee2-08e2-4198-9936-5fbd3c6691a4

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Date deposited: 12 Jun 2025 16:51
Last modified: 03 Sep 2025 16:32

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Contributors

Author: Mohamed Amine Lkabous
Author: Mengni Yang

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