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A separation theorem for the weak s-convex orders

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Denuit, Michel [UCL] Liu, Liqun Meyer, Jack

The present paper extends to higher degrees the well-known separation theorem decomposing a shift in the increasing convex order into a combination of a shift in the usual stochastic order followed by another shift in the convex order. An application in decision making under risk is provided to illustrate the interest of the result.

Document type Article de périodique (Journal article) – Article de recherche
Access type Accès interdit
Publication date 2014
Language Anglais
Journal information "Insurance: Mathematics and Economics" - Vol. 59, p. 279-284 (2014)
Peer reviewed yes
Publisher Elsevier BV * North-Holland (Amsterdam)
issn 0167-6687
e-issn 1873-5959
Publication status Publié
Affiliation UCL - SSH/LIDAM/ISBA - Institut de Statistique, Biostatistique et Sciences Actuarielles
Keywords Integrated right and left tails ; Upper and lower partial moments ; Stationary excess operator ; Khinchine representation ; Risk increase ; Risk aversion
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Bibliographic reference Denuit, Michel ; Liu, Liqun ; Meyer, Jack. A separation theorem for the weak s-convex orders. In: Insurance: Mathematics and Economics, Vol. 59, p. 279-284 (2014)
Permanent URL http://hdl.handle.net/2078.1/154433