Some new classes of stochastic order relations among arithmetic random variables, with applications in actuarial sciences

DOI10.1016/S0167-6687(97)00010-3zbMath0903.60016OpenAlexW2079767632MaRDI QIDQ1381477

Claude Lefèvre, Michel M. Denuit

Publication date: 5 January 1999

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6687(97)00010-3

zbMATH Keywords

ruin probabilitystochastic dominancebinomial risk modelsingle life premiums

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (26)

Stochastic Orderings of Convex-Type for Discrete Bivariate Risks ⋮ Moment bounds on discrete expected stop-loss transforms, with applications ⋮ Stein's Method and Stochastic Orderings ⋮ ORDERING RESULTS ON EXTREMES OF EXPONENTIATED LOCATION-SCALE MODELS ⋮ Another look at risk apportionment ⋮ On finite exchangeable sequences and their dependence ⋮ Negative dependence and stochastic orderings ⋮ W-shaped implied volatility curves and the Gaussian mixture model ⋮ Laplace transform ordering of actuarial quantities. ⋮ Measuring the impact of dependence between claims occurrences. ⋮ On \(s\)-convex stochastic extrema for arithmetic risks ⋮ Convex extrema for nonincreasing discrete distributions: effects of convexity constraints ⋮ Stationary-excess operator and convex stochastic orders ⋮ Convex bounds on multiplicative processes, with applications to pricing in incomplete markets ⋮ Extinction in a branching process: why some of the fittest strategies cannot guarantee survival ⋮ Multivariate higher-degree stochastic increasing convexity ⋮ Stochastic comparisons of imperfect maintenance models for a gamma deteriorating system ⋮ Discrete \(s\)-convex extremal distributions: theory and applications ⋮ Improved analytical bounds for gambler's ruin probabilities ⋮ On the stop-loss and total variation distances between random sums ⋮ On Multiply Monotone Distributions, Continuous or Discrete, with Applications ⋮ Optimal reinsurance and stop-loss order ⋮ A class of bivariate stochastic orderings, with applications in actuarial sciences ⋮ Time stochastic \(s\)-convexity of claim processes ⋮ Extremal generators and extremal distributions for the continuous \(s\)-convex stochastic orderings ⋮ Lorenz and Excess Wealth Orders, with Applications in Reinsurance Theory

Cites Work

• Continua of stochastic dominance relations for unbounded probability distributions
• Ordering of risks: a review
• Bounds on stop-loss premiums and ruin probabilities
• Continua of stochastic dominance relations for bounded probability distributions
• Inequality extensions of Prabhu's formula in ruin theory
• Optimal reinsurance in relation to ordering of risks
• Order relations for some distributions
• Stochastic Dominance and Expected Utility: Survey and Analysis
• Stochastic Dominance on Unidimensional Grids
• Comparing sums of exchangeable Bernoulli random variables
• Ordering of risks and ruin probabilities
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