Maximum variation of total risk

DOI10.1016/0167-7152(95)00137-9MaRDI QIDQ1922253zbMATH OpenOpenAlexFDO

Authors Robin Pemantle

Publication date 15 September 1996

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0404084

zbMATH Keywords

extra informationlife insurance policylifetime paypartial order

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Stopping times; optimal stopping problems; gambling theory (60G40) Generalizations of martingales (60G48) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Abstract: Let Z>0 be a random time. The total risk of discovering Z in the next time interval (t,t+dt) is never more variable than an exponential of mean one, which is achieved when the information up to time t is sigma(Z wedge t).

Review text

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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Cites work

• Fluctuations of extensive functions of quenched random couplings
• scientific article; zbMATH DE number 4020069 (Why is no real title available?)
• scientific article; zbMATH DE number 3651483 (Why is no real title available?)
• scientific article; zbMATH DE number 3778410 (Why is no real title available?)
• On the speed of convergence in first-passage percolation

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