JIPAM
Monotonicity of Ratios Involving Incomplete Gamma Functions with Actuarial Applications |
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Authors: |
Edward Furman, Ricardas Zitikis, |
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Keywords:
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Gamma function, Monotonicity, Weighted distributions, Tail expectations. |
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Date Received:
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28/11/07 |
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Date Accepted:
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01/07/08 |
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Subject Codes: |
26A48, 26D10, 60E15, 91B30.
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Editors: |
Iosif Pinelis, |
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Abstract: |
Ratios involving incomplete gamma functions and their monotonicity properties play important roles in financial risk analysis. We derive desired monotonicity properties either using Pinelis' Calculus Rules or applying probabilistic techniques. As a consequence, we obtain several inequalities involving conditional expectations that have been of interest in actuarial science.;
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The URL for this article is:
http://jipam.vu.edu.au/article.php?sid=999
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