 previous article in this issue | next article in this issue  |
|
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 Pages: 387-404 DOI: 10.2143/AST.37.2.2024073 Abstract : 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. |
