부산대학교 도서관

Summary: ``We propose a new approach to testing whether one randomvariable is stochastically non-dominated by another one. The testscompare mean-risk differences of two unknown distributions usingindependent samples. The test can be used for comparison of thecoherent risk measures of the distributions, as well as to rejectstochastic dominance relation of first, second, or higher order betweenthe two distributions. We consider several law-invariant coherentmeasures of risk which are consistent with the stochastic dominancerelation of first and higher order. Numerical comparisons with theMann-Whitney test and with the F-test for comparison of variance areprovided. The numerical study indicates that most of the mean-risktests are more powerful than the Mann-Whitney test.''