Stationary-excess operator and convex stochastic orders

Claude Lefèvre () and Stéphane Loisel
Additional contact information
Claude Lefèvre: ULB - Département de Mathématique [Bruxelles] - ULB - Faculté des Sciences [Bruxelles] - ULB - Université libre de Bruxelles

Post-Print from HAL

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.

Keywords: Discrete and continuous versions; Insurance risks; s-convex stochastic orders; Extremal distributions; t-monotone distributions; Stationary-excess operator; Discrete and continuous versions. (search for similar items in EconPapers)
Date: 2010
Note: View the original document on HAL open archive server: https://hal.science/hal-00442047v2
References: Add references at CitEc
Citations: View citations in EconPapers (7)

Published in Insurance: Mathematics and Economics, 2010, 47, pp.64-75

Downloads: (external link)
https://hal.science/hal-00442047v2/document (application/pdf)

Related works:
Journal Article: Stationary-excess operator and convex stochastic orders (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00442047

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().