Darinka, Dentcheva; Stock Gregory J.; Ludmyla, Rekeda - In: Statistics & Risk Modeling 28 (2011) 2, pp. 97-118
We propose a new approach to testing whether one random variable is stochastically non-dominated by another one. The tests compare mean-risk differences of two unknown distributions using independent samples. The test can be used for comparison of the coherent risk measures of the distributions,...