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On the second-order excess wealth order and its properties

Published online by Cambridge University Press:  02 February 2022

V. Zardasht Open the ORCID record for V. Zardasht [Opens in a new window]
V. Zardasht*
Affiliation:
Department of Statistics, Faculty of Sciences, University of Mohaghegh Ardabili, Ardabil, Iran. E-mail: [email protected]
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Abstract

In the literature, some stochastic orders have been extended to the higher orders in different scenarios. In this paper, inspired by interesting properties of the excess wealth order and its wide range application particularly in comparing the tail variability of risks, we consider the second-order excess wealth order and study its main properties. We obtain two results characterizing the proposed order. We also investigate its relationship with other well-known variability orders and criteria to compare risks. An application of the results in comparing the epoch times of two nonhomogeneous poisson processes is also given.

Keywords

Excess wealth orderReliability measuresRisk comparing criterionSecond-order absolute Lorenz orderTail variabilityVariability orders
Type
Research Article
Information
Probability in the Engineering and Informational Sciences , Volume 37 , Issue 1 , January 2023 , pp. 135 - 153
Copyright
Copyright © The Author(s), 2022. Published by Cambridge University Press

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