Stationary-excess operator and convex stochastic orders

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.
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https://hal.archives-ouvertes.fr/hal-00442047
Contributor : Stéphane Loisel <>
Submitted on : Thursday, April 1, 2010 - 11:54:44 PM
Last modification on : Thursday, February 8, 2018 - 11:09:30 AM
Long-term archiving on : Friday, September 17, 2010 - 4:32:47 PM

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  • HAL Id : hal-00442047, version 2

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Claude Lefèvre, Stéphane Loisel. Stationary-excess operator and convex stochastic orders. Insurance Mathematics and Economics, 2010, 47, pp.64-75. ⟨hal-00442047v2⟩

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