Comparison of risks based on the expected proportional shortfall

In this paper, we consider a new criterion to compare risks based on the notion of expected proportional shortfall. This criterion is useful for comparing risks of different nature and does not depend on the base currency. We study its relationships with other criteria and provide some characterizations that highlight the role of this new criterion in the context of comparisons of risks.

► We propose a new measure of risk called the expected proportional shortfall. ► The new measure is used to propose a new criterion to compare risks of different nature. ► Characterizations and an application to some real data sets are given to show the relevance of this new criterion.