Stationary-excess operator and convex stochastic orders
AbstractThe present paper aims to point out how the stationary-excess operator and its iterates transform the s-convex stochastic orders and the associated moment spaces. This allows us to propose a new unified method on constructing s-convex extrema for distributions that are known to be t-monotone. Both discrete and continuous cases are investigated. Several extremal distributions under monotonicity conditions are derived. They are illustrated with some applications in insurance.
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Bibliographic InfoPaper provided by HAL in its series Post-Print with number hal-00442047.
Date of creation: 2010
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Publication status: Published, Insurance Mathematics and Economics, 2010, 47, 64-75
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Insurance risks; s-convex stochastic orders; Extremal distributions; t-monotone distributions; Stationary-excess operator; Discrete and continuous versions.;
Other versions of this item:
- Lefèvre, Claude & Loisel, Stéphane, 2010. "Stationary-excess operator and convex stochastic orders," Insurance: Mathematics and Economics, Elsevier, vol. 47(1), pages 64-75, August.
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