Smooth generators of integral stochastic orders.

From MaRDI portal
Publication:1872366

DOI10.1214/aoap/1037125858zbMath1065.60015OpenAlexW1964839959MaRDI QIDQ1872366

Alfred Müller, Michel M. Denuit

Publication date: 6 May 2003

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1037125858




Related Items (28)

From regulatory life tables to stochastic mortality projections: the exponential decline modelHow retention levels influence the variability of the total risk under reinsuranceOn expected utility for financial insurance portfolios with stochastic dependenciesFraction-degree reference dependent stochastic dominanceComparison of the multivariate skew-normal random vectors based on the integral stochastic orderingComonotonic bounds on the survival probabilities in the Lee--Carter model for mortality projectionStochastic comparisons of multivariate mixturesFractional-degree expectation dependenceNonlinear continuous semimartingalesLinear orderings of the scale mixtures of the multivariate skew-normal distributionAn identity for expectations and characteristic function of matrix variate skew-normal distribution with applications to associated stochastic orderingsCONVEX COMPARISONS FOR RANDOM SUMS IN RANDOM ENVIRONMENTS AND APPLICATIONSA connection between supermodular ordering and positive/negative association.Comparison results for exchangeable credit risk portfoliosModel points and tail-VaR in life insuranceEfron's asymptotic monotonicity property in the Gaussian stable domain of attractionHessian and increasing-Hessian orderings of scale-shape mixtures of multivariate skew-normal distributions and applicationsDependence properties and comparison results for Lévy processesUnreliable M/G/1 retrial queue: Monotonicity and comparabilityVariability of total claim amounts under dependence between claims severity and number of eventsCOMPARISON OF DEPENDENCE IN FACTOR MODELS WITH APPLICATION TO CREDIT RISK PORTFOLIOSDependence in failure times due to environmental factorsThe non-integer higher-order stochastic dominanceStochastic comparisons of multivariate mixture modelsHessian orders and multinormal distributionsStochastic orderings of multivariate elliptical distributionsHessian orderings of multivariate normal variance-mean mixture distributions and their applications in evaluating dependent multivariate risk portfoliosDuality Theory and Transfers for Stochastic Order Relations



Cites Work


This page was built for publication: Smooth generators of integral stochastic orders.