Maximum variation of total risk (Q1922253)

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Maximum variation of total risk
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    Maximum variation of total risk (English)
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    15 September 1996
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    Motivated by two different scenarios, one of which is related to the question of how extra information affects the distribution of the lifetime pay for a certain life insurance policy, the author defines the partial order \(\preceq\) among random variables by \(Y\preceq X\) iff for every convex \(\varphi\), \(E \varphi (X) \leq E \varphi (Y)\), after which he proves that if \(Z\) is a positive integer-valued random variable and \(\{{\mathcal F}_n\}\) an increasing sequence of \(\sigma\)-fields, then \(Y\preceq {\mathcal E}\), where \(Y = \sum^\infty_{n=1} P(Z = n + 1 \mid {\mathcal F}_n)\) and \({\mathcal E}\) is a standard exponential random variable, a more general continuous-time analog, and shows how the results relate to his scenarios.
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    extra information
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    lifetime pay
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    life insurance policy
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    partial order
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