S -Convex Extrema, Taylor-Type Expansions and Stochastic Approximations
S -Convex Extrema, Taylor-Type Expansions and Stochastic Approximations
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DOI：
10.1080/03461230110106228
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发表时间：
2002-01
影响因子：
1.8
通讯作者：
M. Denuit
中科院分区：
文献类型：
--
作者：
M. Denuit
本文利用Massey & Whitt（1993）得到的Taylor定理的一个显著的概率推广来研究s -凸序，Lin（1994）对此定理作了进一步的讨论。我们提出了两种方法来近似一个给定的风险与已知的第一时刻的s -凸极值分布。这些近似的好处是探索使用止损距离。几个应用程序显示这种方法在精算科学的兴趣。
The present work studies s -convex orders using a remarkable probabilistic generalization of Taylor's theorem obtained by Massey & Whitt (1993) and further discussed by Lin (1994). We propose two methods for approximating a given risk with known first moments by means of s -convex extremal distributions. The goodness of those approximations is explored using stop-loss distances. Several applications show the interest of this approach in actuarial sciences.