Stationary-excess operator and convex stochastic orders

Claude Lefèvre and Stéphane Loisel

Insurance: Mathematics and Economics, 2010, vol. 47, issue 1, 64-75

Abstract: The present paper aims to point out how the stationary-excess operator and its iterates transform 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: Insurance; risks; Stochastic; orders; Monotone; distributions; Conjugate; operator; Stochastic; extrema; Discrete; and; continuous; versions (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (7)

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Working Paper: Stationary-excess operator and convex stochastic orders (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:47:y:2010:i:1:p:64-75

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