S -Convex Extrema, Taylor-Type Expansions and Stochastic Approximations

Michel Denuit

Scandinavian Actuarial Journal, 2002, vol. 2002, issue 1, 45-67

Abstract: The present work studies s -convex orders using a remarkable probabilistic generalization of Taylor's theorem obtained by Massey & Whitt (1993) and further discussed by Lin (1994). We propose two methods for approximating a given risk with known first moments by means of s -convex extremal distributions. The goodness of those approximations is explored using stop-loss distances. Several applications show the interest of this approach in actuarial sciences.

Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:taf:sactxx:v:2002:y:2002:i:1:p:45-67

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DOI: 10.1080/03461230110106228

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