Title of article
On s-convex stochastic extrema for arithmetic risks
Author/Authors
Denuit، نويسنده , , Michel and Lefèvre، نويسنده , , Claude and Mesfioui، نويسنده , , M’hamed، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1999
Pages
13
From page
143
To page
155
Abstract
Recently, Denuit and Lefèvre (Insurance: Mathematics and Economics 20 (1997) 197–213) have introduced a class of discrete s-convex stochastic orderings for comparing arithmetic risks in actuarial sciences inter alia. The present paper is concerned with the construction of the extremal distributions with respect to these orderings. Firstly, the general problem of bounding such risks is studied in some details. Then, improved extrema are obtained for the case where the risks are known to have a decreasing density function. For illustration, the results are applied to derive bounds for the probability of ruin in the compound binomial risk model.
Keywords
Discrete stochastic orderings , s-Convex orderings , Moment spaces , Decreasing density functions , Binomial risk model , Extremal distributions
Journal title
Insurance Mathematics and Economics
Serial Year
1999
Journal title
Insurance Mathematics and Economics
Record number
1542248
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