A separation theorem for the weak s-convex orders

Michel Denuit, Liqun Liu and Jack Meyer ()

Insurance: Mathematics and Economics, 2014, vol. 59, issue C, 279-284

Abstract: The present paper extends to higher degrees the well-known separation theorem decomposing a shift in the increasing convex order into a combination of a shift in the usual stochastic order followed by another shift in the convex order. An application in decision making under risk is provided to illustrate the interest of the result.

Keywords: Integrated right and left tails; Upper and lower partial moments; Stationary excess operator; Khinchine representation; Risk increase; Risk aversion (search for similar items in EconPapers)
Date: 2014
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Related works:
Working Paper: A separation theorem for the weak S-Convex Orders (2014)
Working Paper: A separation theorem for the weak s-convex orders (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:59:y:2014:i:c:p:279-284

DOI: 10.1016/j.insmatheco.2014.10.008

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