 A stochastic order for the analysis of investments affected by the time value of moneyMaría Concepción López-Díaz, Miguel López-Díaz and Sergio Martínez-Fernández Insurance: Mathematics and Economics, 2018, vol. 83, issue C, 75-82 Abstract: Time value of money reads that an amount of money at the present time is worth more than the same amount in future because its earning capacity and inflation. This fact is reflected in multiple financial concepts and in the final result of numerous investments by means of functions which satisfy appropriate properties. Motivated by the need to compare such investments we introduce an integral stochastic order generated by those functions. The maximal generator of the order is obtained. It is proved that the new stochastic order is generated by a non-stochastic partial order and the class of preserving mappings of such a partial order. Characterizations of the order are developed. Relevant properties, as well as connections with other stochastic orderings and examples, are studied. Keywords: Cash flow; Maximal generator; Stochastic order; Time value of money; Preserving mapping (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:83:y:2018:i:c:p:75-82 DOI: 10.1016/j.insmatheco.2018.08.001 Access Statistics for this article Insurance: Mathematics and Economics is currently edited by R. Kaas, Hansjoerg Albrecher, M. J. Goovaerts and E. S. W. Shiu More articles in Insurance: Mathematics and Economics from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.