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Activity Number:
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375
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Type:
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Topic Contributed
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Date/Time:
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Wednesday, August 1, 2007 : 8:30 AM to 10:20 AM
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Sponsor:
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Section on Nonparametric Statistics
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| Abstract - #308511 |
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Title:
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Nested L-Statistics and Their Use in Comparing the Riskiness of Portfolios
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Author(s):
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Vytaras Brazauskas*+ and Bruce Jones and Madan Puri and Ricardas Zitikis
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Companies:
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University of Wisconsin-Milwaukee and University of Western Ontario and Indiana University and University of Western Ontario
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Address:
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PO Box 413, Milwaukee, WI, 53201-0413,
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Keywords:
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conditional tail expectation ; proportional hazards transform ; insurance losses ; risk measure
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Abstract:
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Inspired by the problem of testing hypotheses about the equality of several risk measure values, we find that the ``nested L-statistic''---a notion introduced herein---is natural and particularly convenient. Indeed, the test statistic that we explore in this paper is a nested L-statistic. We discuss large-sample properties of the statistic, investigate its performance using a simulation study, and consider an example involving the comparison of risk measure values where the risks of interest are those associated with tornado damage in different time periods and different regions.
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