A coupling proof of convex ordering for compound distributions

DOI10.1214/20-ECP323zbMATH Open1447.60048arXiv1910.07218MaRDI QIDQ782840FDOQ782840

Authors: Jean Bérard, Nicolas Juillet 

Publication date: 29 July 2020

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Abstract: In this paper, we give an alternative proof of the fact that, when compounding a nonnegative probability distribution, convex ordering between the distributions of the number of summands implies convex ordering between the resulting compound distributions. Although this is a classical textbook result in risk theory, our proof exhibits a concrete coupling between the compound distributions being compared, using the representation of one-period discrete martingale laws as a mixture of the corresponding extremal measures.

Full work available at URL: https://arxiv.org/abs/1910.07218

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zbMATH Keywords

convex ordermartingale transportStrassen's theorem

Mathematics Subject Classification ID

Optimal transportation (49Q22) Inequalities; stochastic orderings (60E15) Martingales with discrete parameter (60G42) Sums of independent random variables; random walks (60G50) Convex sets in topological linear spaces; Choquet theory (46A55)

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Cited In (2)

• Convex orders for linear combinations of random variables
• Conditional convex orders and measurable martingale couplings

Uses Software

• R

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