Extremal generators and extremal distributions for the continuous s-convex stochastic orderings

被引：38

作者：

Denuit, M

De Vylder, E

Lefèvre, C

机构：

[1] Free Univ Brussels, Inst Stat & Rech Operationnelle, B-1050 Brussels, Belgium

[2] Univ Amsterdam, Amsterdam, Netherlands

来源：

INSURANCE MATHEMATICS & ECONOMICS | 1999年 / 24卷 / 03期

关键词：

integral stochastic orderings; extremal generators; s-convexity; s-convex orderings; moment spaces; stochastic extrema; whole life premium;

D O I：

10.1016/S0167-6687(98)00053-5

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In the first part of this paper, the extremal generators of the continuous s-convex stochastic orderings introduced by Denuit et al., [Denuit, M., Lefevre, Cl., Shaked, M., 1998. Mathematical Inequalities and Applications, 1, 585-613] are identified. Then, the problem of constructing the extremal distributions with respect to these orderings in moment spaces is reexamined in whole generality using some results given in [De Vylder, EE., 1996. Advanced Risk Theory. A Self-Contained Introduction. Editions de l'Universite Libre de Bruxelles, Swiss Association of Actuaries, Bruxelles]. An illustration in life insurance enhances the interest of the theory. (C) 1999 Elsevier Science B.V. All rights reserved.

引用

页码：201 / 217

页数：17