Stochastic convexity of the poisson mixture model with applications in actuarial sciences
(2000) Methodology and Computing in Applied Probability — Vol. 2, p. 231-254 (2000)
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- Abstract
- This paper is devoted to the study of the compound Poisson mixture model in an actuarial framework. Using the s-convex stochastic orderings and stochastic s-convexity, several problems involving an unknown mixing parameter with given moments are examined; namely, the specification of the number of support points in a finite mixture model, and the derivation of extremal mixture distributions. The theory is enhanced with the derivation of theoretical and numerical bounds on several quantities of actuarial interest.
- Affiliations
Louvain School of Management
Citations
Denuit, M., Shaked, M., & Lefèvre, C. (2000). Stochastic convexity of the poisson mixture model with applications in actuarial sciences. Methodology and Computing in Applied Probability, 2, 231-254. https://doi.org/10.1023/A:1010054211652 (Original work published 2000)