Search Results - "Sordo, Miguel A."

On Partial Stochastic Comparisons Based on Tail Values at Risk by Bello, Alfonso J., Mulero, Julio, Sordo, Miguel A., Suárez-Llorens, Alfonso

“…The tail value at risk at level p, with p ∈ ( 0 , 1 ) , is a risk measure that captures the tail risk of losses and asset return distributions beyond the p…”
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On a family of risk measures based on proportional hazards models and tail probabilities by Psarrakos, Georgios, Sordo, Miguel A.

“…In this paper, we explore a class of tail variability measures based on distances among proportional hazards models. Tail versions of some well-known…”
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Probability equivalent level for CoVaR and VaR by Ortega-Jiménez, Patricia, Pellerey, Franco, Sordo, Miguel A., Suárez-Llorens, Alfonso

“…For a given risk, the well-known classical definition of Value-at-Risk (VaR) does not take into account possible interactions with other observable risks. For…”
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Preservation of some stochastic orders by distortion functions with application to coherent systems with exchangeable components by Arriaza, Antonio, Sordo, Miguel A.

“…The preservation of stochastic orders by distortion functions has become a topic of increasing interest in the reliability analysis of coherent systems. The…”
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The Log–Lindley distribution as an alternative to the beta regression model with applications in insurance by Gómez-Déniz, Emilio, Sordo, Miguel A., Calderín-Ojeda, Enrique

“…In this paper a new probability density function with bounded domain is presented. The new distribution arises from the generalized Lindley distribution…”
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Stochastic comparisons of interfailure times under a relevation replacement policy by Sordo, Miguel A., Psarrakos, Georgios

“…We provide some results for the comparison of the failure times and interfailure times of two systems based on a replacement policy proposed by Kapodistria and…”
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A multivariate extension of the increasing convex order to compare risks by Sordo, Miguel A.

“…In this paper, we propose a generalization of the increasing convex order to the multivariate setting to compare vectors of risks that accounts for both the…”
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Comparing Residual Lives and Inactivity Times by Transform Stochastic Orders by Arriaza, Antonio, Sordo, Miguel A., Suarez-Llorens, Alfonso

“…Comparison of residual lives and inactivity times is an important topic in reliability. In this framework, our purpose is twofold. First, we interpret a family…”
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Stochastic comparisons and bounds for conditional distributions by using copula properties by Navarro, Jorge, Sordo, Miguel A.

“…We prove that different conditional distributions can be represented as distorted distributions. These representations are used to obtain stochastic…”
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Stochastic ordering properties for systems with dependent identically distributed components by Navarro, Jorge, del Águila, Yolanda, Sordo, Miguel A., Suárez-Llorens, Alfonso

“…In this paper, we obtain ordering properties for coherent systems with possibly dependent identically distributed components. These results are based on a…”
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Preservation of Stochastic Orders under the Formation of Generalized Distorted Distributions. Applications to Coherent Systems by Navarro, Jorge, del Águila, Yolanda, Sordo, Miguel A., Suárez-Llorens, Alfonso

“…The preservation of stochastic orders under the formation of coherent systems is a relevant topic in the reliability theory. Several properties have been…”
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Weak Dependence Notions and Their Mutual Relationships by Navarro, Jorge, Pellerey, Franco, Sordo, Miguel A.

“…New weak notions of positive dependence between the components X and Y of a random pair (X,Y) have been considered in recent papers that deal with the effects…”
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Preservation of reliability classes under the formation of coherent systems by Navarro, Jorge, del Águila, Yolanda, Sordo, Miguel A., Suárez-Llorens, Alfonso

“…The preservation of reliability aging classes under the formation of coherent systems is a relevant topic in reliability theory. Thus, it is well known that…”
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A family of premium principles based on mixtures of TVaRs by Sordo, Miguel A., Castaño-Martínez, Antonia, Pigueiras, Gema

“…Risk-adjusted distributions are commonly used in actuarial science to define premium principles. In this paper, we claim that an appropriate risk-adjusted…”
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Comparison of conditional distributions in portfolios of dependent risks by Sordo, Miguel A., Suárez-Llorens, Alfonso, Bello, Alfonso J.

“…Given a portfolio of risks, we study the marginal behavior of the ith risk under an adverse event, such as an unusually large loss in the portfolio or, in the…”
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Increasing concave orderings of linear combinations of order statistics with applications to social welfare by Castaño-Martínez, Antonia, Pigueiras, Gema, Psarrakos, Georgios, Sordo, Miguel A.

“…We provide in this paper sufficient conditions for comparing, in terms of the increasing concave order, some income random variables based on linear…”
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On the Increasing Convex Order of Relative Spacings of Order Statistics by Castaño-Martínez, Antonia, Pigueiras, Gema, Sordo, Miguel A.

“…Relative spacings are relative differences between order statistics. In this context, we extend previous results concerning the increasing convex order of…”
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Stochastic Comparisons of Some Distances between Random Variables by Ortega-Jiménez, Patricia, Sordo, Miguel A., Suárez-Llorens, Alfonso

“…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,…”
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Comparing tail variabilities of risks by means of the excess wealth order by Sordo, Miguel A.

“…There is a growing interest in the actuarial community in employing certain tail conditional characteristics as measures of risk, which are informative about…”
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Stochastic comparisons of distorted variability measures by Sordo, Miguel A., Suárez-Llorens, Alfonso

“…In this paper, we consider the dispersive order and the excess wealth order to compare the variability of distorted distributions. We know from Sordo (2009a)…”
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