Frontiers of Mathematics in China >

2009 , Vol. 4 >Issue 4: 681 - 696

DOI: https://doi.org/10.1007/s11464-009-0040-6

Research articles

On domination problem of non-negative distributions

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  • Department of Statistics and Finance, University of Science and Technology of China, Hefei 230026, China;

Published date: 05 Dec 2009

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Abstract

The domination relationship between non-negative distributions is an important question in applied probability. It has important applications in the fields of finance, insurance and risk theory. In this paper, based on class "Graphic", we find the sufficient condition of dominating all light-tailed distributions and also discuss its necessity. Almost all heavy-tailed distributions often used in risk theory satisfy this condition. We also consider the domination problem between heavy-tailed distributions, and show that classes "Graphic" and "Graphic"ℳ* have many good properties on domination problems.

Key words： [img]Non-negative distributions; domination; class; class ℳ; class ; Karamata index

Cite this article

Zishan SU, Chun SU, Zhishui HU, Jie LIU, . On domination problem of non-negative distributions[J]. Frontiers of Mathematics in China, 2009 , 4(4) : 681 -696 . DOI: 10.1007/s11464-009-0040-6

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