Université de Lyon (92 rue Pasteur - CS 30122, 69361 Lyon Cedex 07 - France)
Abstract : 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.
https://hal.archives-ouvertes.fr/hal-00442047
Contributeur : Stéphane Loisel
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Soumis le : jeudi 1 avril 2010 - 23:54:44
Dernière modification le : jeudi 8 février 2018 - 11:09:30
Document(s) archivé(s) le : vendredi 17 septembre 2010 - 16:32:47
