Discrete \(s\)-convex extremal distributions: theory and applications

DOI10.1016/j.aml.2006.02.006zbMath1136.62344OpenAlexW1967955613MaRDI QIDQ2481443

Cindy Courtois, Michel M. Denuit, Sébastien Van Bellegem

Publication date: 10 April 2008

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.aml.2006.02.006

zbMATH Keywords

branching processmoment spacesstochastic extremainsurance risk modelLundberg's bound\(s\)-convex orders

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32) Characterization and structure theory of statistical distributions (62E10) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80)

Related Items (6)

Moment bounds on discrete expected stop-loss transforms, with applications ⋮ A geometric approach to a class of optimization problems concerning exchangeable binary variables ⋮ Convex extrema for nonincreasing discrete distributions: effects of convexity constraints ⋮ Stationary-excess operator and convex stochastic orders ⋮ Extinction in a branching process: why some of the fittest strategies cannot guarantee survival ⋮ Local Moment Matching and S-convex Extrema

Cites Work

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• Ruin probabilities in the compound binomial model
• Extremal generators and extremal distributions for the continuous \(s\)-convex stochastic orderings
• Some new classes of stochastic order relations among arithmetic random variables, with applications in actuarial sciences
• Inequalities and comparisons of the Cauchy, Gauss, and logistic distributions
• On \(s\)-convex stochastic extrema for arithmetic risks
• Stochastic Dominance on Unidimensional Grids
• Comparing sums of exchangeable Bernoulli random variables
• An unusual stochastic order relation with some applications in sampling and epidemic theory

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