Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5076559 | Insurance: Mathematics and Economics | 2014 | 5 Pages |
Abstract
Intuition based on the usual interpretation of the covariance of two random variables suggests that the inequality cov[f(X),g(X)]â¥0 should hold for any random variable X and any two increasing functions f and g. The inequality holds indeed, but a proof is hard to find in the literature. In this paper we provide an elementary proof of a more general inequality for moments and we present several applications in actuarial mathematics.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Klaus D. Schmidt,