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Document Details :
Title: Local Moment Matching and S-Convex Extrema
Author(s): COURTOIS, Cindy , DENUIT, Michel
Journal: ASTIN Bulletin
Volume: 37 Issue: 2 Date: 2007
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.