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Local Moment Matching and S-convex Extrema

Published online by Cambridge University Press:  17 April 2015

Cindy Courtois  and
Michel Denuit
Cindy Courtois
Affiliation:
Institut des Sciences Actuarielles, Université Catholique de Louvain, rue des Wallons 6, B-1348 Louvain-la-Neuve, Belgium
Michel Denuit
Affiliation:
Institut de Statistique et Institut des Sciences Actuarielles, Université Catholique de Louvain, rue des Wallons 6, B-1348 Louvain-la-Neuve, Belgium
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Abstract

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The paper is devoted to the local moment matching method and its links with the discrete version of the s-convex extremal distributions. It is well-known that the local moment matching method can produce some negative masses. Connecting the local moment matching method to the discrete s-convex extrema gives an explicit criterion that explains why (and says when) the local moment matching method gives some negative mass.

Keywords

Discretisationlocal moment matchings-convex order
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 37 , Issue 2 , November 2007 , pp. 387 - 404
Copyright
Copyright © ASTIN Bulletin 2007

References

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