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On the theory of high convexity stochastic orders

✍ Scribed by Michel Denuit; Claude Lefèvre; Moshe Shaked

Publisher
Elsevier Science
Year
2000
Tongue
English
Weight
89 KB
Volume
47
Category
Article
ISSN
0167-7152

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✦ Synopsis

The purpose of this note is two-fold. First we derive a simple condition under which two s-convex ordered random variables must be stochastically equal, and we indicate the potential usefulness of this result in statistics. Then we highlight the relationship between the canonical moments and the extremal distributions in the s-convex sense, and we indicate how the canonical moments can be computed using the moments of these extremal distributions.

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