On s-convex bounds for Beta-unimodal distributions with applications to basis risk assessment

DOI10.1080/03461238.2020.1852596MaRDI QIDQ4959362zbMATH OpenOpenAlexFDO

Authors Stéphane Loisel, Pierre Montesinos, Claude Lefèvre

Publication date 13 September 2021

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

Full work available at URL https://doi.org/10.1080/03461238.2020.1852596

zbMATH Keywords

\(s\)-convex extrema\(s\)-convex stochastic ordersbasis riskbeta-unimodalityparametric indexrisk management

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

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Cites work

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Cited in

(3)

• On the randomized Schmitter problem
• Basis risk management and randomly scaled uncertainty
• On defective renewal equations and compound geometric distributions, with applications in ruin theory

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