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Extremal generators and extremal distributions for the continuous s-convex stochastic orderings

  • Denuit, Michel
  • Vylder, Etienne De
  • Lefevre, Claude
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    File URL: http://www.sciencedirect.com/science/article/pii/S0167-6687(98)00053-5
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    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 24 (1999)
    Issue (Month): 3 (May)
    Pages: 201-217

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    Handle: RePEc:eee:insuma:v:24:y:1999:i:3:p:201-217
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505554

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    1. Kaas, R. & Hesselager, O., 1995. "Ordering claim size distributions and mixed Poisson probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 17(2), pages 193-201, October.
    2. Kaas, R. & Goovaerts, M. J., 1986. "Extremal values of stop-loss premiums under moment constraints," Insurance: Mathematics and Economics, Elsevier, vol. 5(4), pages 279-283, October.
    3. De Vylder, F. & Goovaerts, M., 1983. "Maximization of the variance of a stop-loss reinsured risk," Insurance: Mathematics and Economics, Elsevier, vol. 2(2), pages 75-80, April.
    4. Goovaerts, M. J. & De Vylder, F. & Haezendonck, J., 1982. "Ordering of risks: a review," Insurance: Mathematics and Economics, Elsevier, vol. 1(2), pages 131-161, April.
    5. Jansen, K. & Haezendonck, J. & Goovaerts, M. J., 1986. "Upper bounds on stop-loss premiums in case of known moments up to the fourth order," Insurance: Mathematics and Economics, Elsevier, vol. 5(4), pages 315-334, October.
    6. De Vylder, F., 1980. "An Illustration of the Duality Technique in Semi-Continuous Linear Programming," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 11(01), pages 17-28, June.
    7. Goovaerts, M. J. & Kaas, R., 1985. "Application of the problem of moments to derive bounds on integrals with integral constraints," Insurance: Mathematics and Economics, Elsevier, vol. 4(2), pages 99-111, April.
    8. De Vylder, F., 1983. "Maximization, under equality constraints, of a functional of a probability distribution," Insurance: Mathematics and Economics, Elsevier, vol. 2(1), pages 1-16, January.
    9. Denuit, Michel & Lefevre, Claude, 1997. "Some new classes of stochastic order relations among arithmetic random variables, with applications in actuarial sciences," Insurance: Mathematics and Economics, Elsevier, vol. 20(3), pages 197-213, October.
    10. Bühlmann, H. & Gagliardi, B. & Gerber, H. U. & Straub, E., 1977. "Some Inequalities for Stop-Loss Premiums," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 9(1-2), pages 75-83, January.
    11. Kaas, R. & Goovaerts, M. J., 1986. "Best bounds for positive distributions with fixed moments," Insurance: Mathematics and Economics, Elsevier, vol. 5(1), pages 87-92, January.
    12. Heijnen, B., 1990. "Best upper and lower bounds on modified stop loss premiums in case of known range, mode, mean and variance of the original risk," Insurance: Mathematics and Economics, Elsevier, vol. 9(2-3), pages 207-220, September.
    13. Borch, Karl, 1961. "The Utility Concept Applied to the Theory of Insurance," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 1(05), pages 245-255, July.
    14. Kaas, R. & Goovaerts, M. J., 1986. "Bounds on Stop-Loss Premiums for Compound Distributions," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 16(01), pages 13-17, April.
    15. De Vylder, F., 1982. "Best upper bounds for integrals with respect to measures allowed to vary under conical and integral constraints," Insurance: Mathematics and Economics, Elsevier, vol. 1(2), pages 109-130, April.
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