Supermodular ordering and stochastic annuities

Authors
Goovaerts, MJ Dhaene, J
Citation
Mj. Goovaerts et J. Dhaene, Supermodular ordering and stochastic annuities, INSUR MATH, 24(3), 1999, pp. 281-290
Citations number
18
Categorie Soggetti
Economics
Journal title
INSURANCE MATHEMATICS & ECONOMICS
ISSN journal
01676687 → ACNP
Volume
24
Issue
3
Year of publication
1999
Pages
281 - 290
Database
ISI
SICI code
0167-6687(19990528)24:3<281:SOASA>2.0.ZU;2-C
Abstract
In this paper, we consider several types of stochastic annuities, for which an explicit expression of the distribution function is not available. We w ill construct a random variable with the same mean and which is larger in s top-loss order, for which the distribution function can easily be obtained. (C) 1999 Elsevier Science B.V. All rights reserved.