Extremal generators and extremal distributions for the continuous s-convex stochastic orderings
(1999) Insurance: Mathematics and Economics — Vol. 24, n° 3, p. 201-217 (1999)
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- Abstract
- In the first part of this paper, the extremal generators of the continuous s-convex stochastic orderings introduced by Denuit et al., [Denuit, M., Lefèvre, Cl., Shaked, M., 1998. Mathematical Inequalities and Applications, 1, 585–613] are identified. Then, the problem of constructing the extremal distributions with respect to these orderings in moment spaces is reexamined in whole generality using some results given in [De Vylder, F.E., 1996. Advanced Risk Theory. A Self-Contained Introduction. Editions de l’Université Libre de Bruxelles, Swiss Association of Actuaries, Bruxelles]. An illustration in life insurance enhances the interest of the theory.
- Affiliations
Universiteit van Amsterdam ULB
Citations
Denuit, M., De Vylder, E., & Lefèvre, C. (1999). Extremal generators and extremal distributions for the continuous s-convex stochastic orderings. Insurance: Mathematics and Economics, 24(3), 201-217. https://doi.org/10.1016/S0167-6687(98)00053-5 (Original work published 1999)