停止损失限额变换与保险风险比较(英文)

STOP-LOSS TRANSFORMATION AND COMPARISON OF RISKS IN INSURANCE

本文讨论了停止损失限额次序、凸次序、随机控制之间的关系，建立了风险集合与停止损失限额变换集合之间的一一对应．应用停止损失限额变换的性质证明了停止损失限额分离定理，并修正了ＡｌｆｒｅｄＭｕｌｌｅｒ在此定理证明中的一个错误．

The relations among the stop loss order,convex order and stochastic dominance are discussed.We establish a one to one correspondence between the set of risks and the set of stop loss transformations.Using characterizations of stop loss transformations,we prove the separation theorem for stop loss order and correct a mistake in the proof of the theorem given by Alfred Mller (1996).