Search Results - subject:"Convex ordering"

A model for risk adjustment (IFRS 17) for surrender risk in life insurance

Carlehed, Magnus - In: Risks : open access journal 11 (2023) 3, pp. 1-22

calculated. Using well-known techniques from the theory of convex ordering of stochastic variables, we present closed formula …

Persistent link: https://www.econbiz.de/10014303652

Range value-at-risk bounds for unimodal distributions under partial information

Bernard, Carole; Kazzi, Rodrigue; Vanduffel, Steven - In: Insurance / Mathematics & economics 94 (2020), pp. 9-24

Persistent link: https://www.econbiz.de/10012419085

Inversion of convex ordering in the VIX market

Guyon, Julien - In: Quantitative finance 20 (2020) 10, pp. 1597-1623

Persistent link: https://www.econbiz.de/10012295626

Convex extrema for nonincreasing discrete distributions: effects of convexity constraints

Kacem, Manel; Lefèvre, Claude; Loisel, Stéphane - HAL - 2013

In risk management, the distribution of underlying random variables is not always known. Sometimes, only the mean value and some shape information (decreasingness, convexity after a certain point,...) of the discrete density are available. The present paper aims at providing convex extrema in...

Persistent link: https://www.econbiz.de/10010720555

Optimal recharging policies for electric vehicles

Sweda, Timothy M.; Dolinskaya, Irina S.; Klabjan, Diego - In: Transportation science : a journal of the Institute for … 51 (2017) 2, pp. 457-479

Persistent link: https://www.econbiz.de/10011689561

Multi-echelon inventory management under short-term take-or-pay contracts

Goh, Joel; Porteus, Evan L. - In: Production and operations management : an international … 25 (2016) 8, pp. 1415-1429

Persistent link: https://www.econbiz.de/10011576943

Convex ordering for insurance preferences

Cheung, Ka Chun; Chong, W. F.; Yam, Sheung Chi Phillip - In: Insurance / Mathematics & economics 64 (2015), pp. 409-416

Persistent link: https://www.econbiz.de/10011398122

Convex transformation on survival functions and related dependence concepts

Yilmaz, Mehmet - In: Statistical Papers 52 (2011) 2, pp. 355-370

Persistent link: https://www.econbiz.de/10009149837

Equality in Distribution in a Convex Ordering Family

Huang, J.; Lin, G. - In: Annals of the Institute of Statistical Mathematics 51 (1999) 2, pp. 345-349

Persistent link: https://www.econbiz.de/10005391511

The advantage of small machines in a stochastic fluid production process

Bäuerle, Nicole - In: Computational Statistics 47 (1998) 1, pp. 83-97

content at timet is less or equal in the increasing convex ordering to the buffer content at time t of a model withm′ ≤m …

Persistent link: https://www.econbiz.de/10010847931