Local moment matching and s-convex extrema

Courtois, Cindy;Denuit, Michel
(2007) Astin Bulletin : the journal of the International Actuarial Association — Vol. 37, n° 2, p. 387-404 (2007)

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Abstract
The paper is devoted to the local moment matching method and its links with the discrete version of the s-convex extremal distributions. It is well-known that the local moment matching method can produce some negative masses. Connecting the local moment matching method to the discrete s-convex extrema gives an explicit criterion that explains why (and says when) the local moment matching method gives some negative mass.
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  • Louvain School of ManagementCESAM - Center for Studies in Asset Management
  • Institution iconUCLouvainAutre

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Courtois, C., & Denuit, M. (2007). Local moment matching and s-convex extrema. Astin Bulletin : the journal of the International Actuarial Association, 37(2), 387-404. https://doi.org/10.2143/AST.37.2.2024073 (Original work published 2007)