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|
|Date of revision:|
|Publication status:||Published, Insurance Mathematics and Economics, 2010, 47, 64-75|
|Note:||View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00442047/en/|
|Contact details of provider:|| Web page: https://hal.archives-ouvertes.fr/|
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- 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.
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- 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.
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