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Document Details : Title: On Stop-Loss Order and the Distortion Pricing Principle Author(s): HURLIMANN, Werner Journal: ASTIN Bulletin Volume: 28 Issue: 1 Date: May 1998 Pages: 119-134 DOI: 10.2143/AST.28.1.519082 Abstract : A number of more or less well-known, but quite complex, characterizations of stop-loss order are renewed and proved in an elementary way. Two recent proofs of the stop-loss order preserving property for the distortion pricing principle are invalidated through a simple counterexample A new proof is presented. It is based on the important Hardy-Littlewood transform, which is known to characterize the stop-loss order by reduction to the usual stochastic order, and the dangerousness characterization of stop-loss order under a finite crossing condition Finally, we complete and summarize the main properties of the distortion pricing principle. |
