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S-convex extremal distributions with arbitrary discrete support

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Courtois, Cindy Denuit, Michel [UCL]

This paper considers the class of s-convex stochastic orderings for random variables valued in an arbitrary discrete subset of the half-positive real line. After having established a sufficient condition of crossing-type for these orderings, explicit expressions are derived for stochastic extrema in moment spaces. Some applications in actuarial science are discussed

Document type Article de périodique (Journal article) – Article de recherche
Publication date 2008
Language Anglais
Journal information "Journal of Mathematical Inequalities" - Vol. 2, no. 2, p. 197-214 (2008)
Peer reviewed yes
Publisher Element Ltd ((Croatia) Zagreb)
issn 1846-579X
Publication status Publié
Affiliation Louvain School of Management
Keywords stochastic extrema ; cut-criterion ; arbitrary grid ; Discrete stochastic orderings
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Bibliographic reference Courtois, Cindy ; Denuit, Michel. S-convex extremal distributions with arbitrary discrete support. In: Journal of Mathematical Inequalities, Vol. 2, no. 2, p. 197-214 (2008)
Permanent URL http://hdl.handle.net/2078/16935