Time stochastic \(s\)-convexity of claim processes (Q1584516): Difference between revisions

Let \({\mathcal X}= \{X_t, t\geq 0\}\) be a stochastic process, and let \(T_1\) and \(T_2\) be two nonnegative random variables, independent of \({\mathcal X}\). The author finds conditions on \({\mathcal X}\) which ensure that if \(T_1\leq_{s\text{-cx}[s\text{-icx}]}T_2\), then \(X_{T_1}\leq_{s\text{-x}[s\text{-icx}]} X_{T_2}\), where \(\leq_{s\text{-cx}[s\text{-icx}]}\) is the \(s\)-convex [\(s\)-increasing convex] stochastic order. Some applications in actuarial sciences are given. Rerviewer's comment: The author mentions that similar results were obtained by the reviewer and \textit{Wong} [Probab. Eng. Inf. Sci. 9, 563-580 (1995)]. Extensions to more general Tchebycheff orders are given by \textit{J. Lynch} [Scand. J. Stat. 15, No. 3, 203-210 (1988; Zbl 0693.62011)].