Stochastic Orderings of Convex-Type for Discrete Bivariate Risks

Michel Denuit, Claude Lefévre and M'Hamed Mesfioui

Scandinavian Actuarial Journal, 1999, vol. 1999, issue 1, 32-51

Abstract: New classes of order relations for discrete bivariate random vectors are introduced that essentially compare the expectations of real functions of convex-type of the random vectors. For the actuarial context, attention is focused on the so-called increasing convex orderings between discrete bivariate risks. First, various characterizations and properties of these orderings are derived. Then, they are used for comparing two similar portfolios with dependent risks and for constructing bounds on several multilife insurance premiums.

Date: 1999
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DOI: 10.1080/03461230050131867

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