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Article Dans Une Revue Insurance: Mathematics and Economics Année : 2010

Stationary-excess operator and convex stochastic orders

Résumé

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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Dates et versions

hal-00442047 , version 1 (18-12-2009)
hal-00442047 , version 2 (01-04-2010)

Identifiants

  • 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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