✦ LIBER ✦

A stop-loss ordered extremal distribution and some of its applications : 074034 (M30) Hürlimann W., Winterthur, Switzerland, Astin Colloquium Leuven, 1995

Publisher: Elsevier Science
Year: 1996
Tongue: English
Weight: 121 KB
Volume: 17
Category: Article
ISSN: 0167-6687
DOI: 10.1016/s0167-6687(96)90074-8

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✦ Synopsis

Reviews

values of suitably transformed distribution functions. The Esscher principle is a particular example. It is found that the likelihood ratio ordering of risks is preserved for any of these principles. A renewal theoretic interpretation of a special principle is given, and useful properties as well as a related characterization of the exponential distribution are shown.