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Stationary-excess operator and convex stochastic orders

par Lefèvre, Claude ;Loisel, Stéphane
Référence Insurance. Mathematics & economics, 47, 1, page (64-75)
Publication Publié, 2010

Article révisé par les pairs

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Résumé :

The present paper aims to point out how the stationary-excess operator and its iterates transform s-convex stochastic orders and the associated moment spaces. This allows us to propose a new unified method on constructing s-convex extrema for distributions that are known to be t-monotone. Both discrete and continuous cases are investigated. Several extremal distributions under monotonicity conditions are derived. They are illustrated with some applications in insurance. © 2010 Elsevier B.V.