Local Moment Matching and S-convex Extrema

Cindy Courtois and Michel Denuit

ASTIN Bulletin, 2007, vol. 37, issue 2, 387-404

Abstract: The paper is devoted to the local moment matching method and its links with the discrete version of the s-convex extremal distributions. It is well-known that the local moment matching method can produce some negative masses. Connecting the local moment matching method to the discrete s-convex extrema gives an explicit criterion that explains why (and says when) the local moment matching method gives some negative mass.

Date: 2007
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