Quantifying non-monotonicity of functions and the lack of positivity in signed measures (Q1686351): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
links / mardi / name | links / mardi / name | ||
Revision as of 06:26, 1 February 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Quantifying non-monotonicity of functions and the lack of positivity in signed measures |
scientific article |
Statements
Quantifying non-monotonicity of functions and the lack of positivity in signed measures (English)
0 references
22 December 2017
0 references
Motivated by the problem of measuring lack of monotonicity of a function, being of some importance in insurance mathematics, the authors introduce a so-called lack of increase index (LOI) of (an absolutely continuous) function \(g:[a,b]\to\mathbb R\) as the negative variation of \(g\) on \([a,b]\) (the lack of decrease index, LOD, is defined analogously). Then they elaborate on (elementary) properties of total and negative/positive variation of a function. The measure-theoretic approach is also included.
0 references
weighted premium
0 references
risk measure
0 references
gain-loss ratio
0 references
bounded variation
0 references
Hahn and Jordan decompositions
0 references
signed measures
0 references