nep-ias 2012-11-24 papers

on Insurance Economics

Issue of 2012‒11‒24
one paper chosen by
Soumitra K Mallick
Indian Institute of Social Welfare and Business Management

On multiply monotone distributions, continuous or discrete, with applications By Claude Lefèvre; Stéphane Loisel

On multiply monotone distributions, continuous or discrete, with applications

By:	Claude Lefèvre (ULB - Département de Mathématique [Bruxelles] - Université Libre de Bruxelles); Stéphane Loisel (SAF - Laboratoire de Sciences Actuarielle et Financière - Université Claude Bernard - Lyon I : EA2429)
Abstract:	This paper is concerned with the class of distributions, continuous or discrete, whose shape is monotone of finite integer order t. A characterization is presented as a mixture of a minimum of t independent uniform distributions. Then, a comparison of t-monotone distributions is made using the s-convex stochastic orders. A link is also pointed out with an alternative approach to monotonicity based on a stationary-excess operator. Finally, the monotonicity property is exploited to reinforce the classical Markov and Lyapunov inequalities. The results are illustrated by several applications to insurance.
Date:	2012–10–01
URL:	http://d.repec.org/n?u=RePEc:hal:wpaper:hal-00750562&r=ias

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