Stationary-excess operator and convex stochastic orders
The 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.
|Date of creation:||2010|
|Publication status:||Published in Insurance Mathematics and Economics, 2010, 47, pp.64-75|
|Note:||View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00442047v2|
|Contact details of provider:|| Web page: https://hal.archives-ouvertes.fr/|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- Denuit, Michel & Lefevre, Claude & Mesfioui, M'hamed, 1999. "On s-convex stochastic extrema for arithmetic risks," Insurance: Mathematics and Economics, Elsevier, vol. 25(2), pages 143-155, November.
- Cheng, Yu & Pai, Jeffrey S., 2003. "On the nth stop-loss transform order of ruin probability," Insurance: Mathematics and Economics, Elsevier, vol. 32(1), pages 51-60, February.
- 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.
- Haim Levy, 1992. "Stochastic Dominance and Expected Utility: Survey and Analysis," Management Science, INFORMS, vol. 38(4), pages 555-593, April.
- Denuit, Michel & Vylder, Etienne De & Lefevre, Claude, 1999. "Extremal generators and extremal distributions for the continuous s-convex stochastic orderings," Insurance: Mathematics and Economics, Elsevier, vol. 24(3), pages 201-217, May.
When requesting a correction, please mention this item's handle: RePEc:hal:journl:hal-00442047. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (CCSD)
If references are entirely missing, you can add them using this form.