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Nested -statistics and their use in comparing the riskiness of portfolios

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  • Vytaras Brazauskas
  • Bruce Jones
  • Madan Puri
  • Ričardas Zitikis

Abstract

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.

Suggested Citation

  • Vytaras Brazauskas & Bruce Jones & Madan Puri & Ričardas Zitikis, 2007. "Nested -statistics and their use in comparing the riskiness of portfolios," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2007(3), pages 162-179.
    • Handle: RePEc:taf:sactxx:v:2007:y:2007:i:3:p:162-179
    DOI: 10.1080/03461230701390287
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