On s-convex bounds for Beta-unimodal distributions with applications to basis risk assessment

DOI10.1080/03461238.2020.1852596zbMath1471.91467OpenAlexW3107877004MaRDI QIDQ4959362

Pierre Montesinos, Stéphane Loisel, Claude Lefèvre

Publication date: 13 September 2021

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2020.1852596

zbMATH Keywords

risk managementbasis risk\(s\)-convex extrema\(s\)-convex stochastic ordersbeta-unimodalityparametric index

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Related Items (2)

On the randomized Schmitter problem ⋮ Basis risk management and randomly scaled uncertainty

Uses Software

• MBBEFD

Cites Work

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