Sharp bounds on change in expected values and variances for single risk analysis in the flood catastrophe model

DOI10.1080/03461238.2017.1284152zbMath1416.91210OpenAlexW2583614039MaRDI QIDQ4583602

Patryk Miziuła, Radek Solnický

Publication date: 31 August 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2017.1284152

zbMATH Keywords

mixturestochastic ordergeneralized extreme value distributionflood catastrophe modelmaximal annual loss

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Extreme value theory; extremal stochastic processes (60G70)

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Sharp bounds on distribution functions and expectations of mixtures of ordered families of distributions

Cites Work

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