Extremal values of stop-loss premiums under moment constraints (Q1086963): Difference between revisions
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| Property / author: Rob Kaas / rank | |||
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| Property / author: Marc J. Goovaerts / rank | |||
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| Property / author: Rob Kaas / rank | |||
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| Property / author: Marc J. Goovaerts / rank | |||
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| Property / MaRDI profile type: MaRDI publication profile / rank | |||
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| Property / full work available at URL: https://doi.org/10.1016/0167-6687(86)90023-5 / rank | |||
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| Property / OpenAlex ID: W2001236646 / rank | |||
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| Property / cites work: Application of the problem of moments to derive bounds on integrals with integral constraints / rank | |||
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| Property / cites work: Q3314810 / rank | |||
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| Property / cites work: Upper bounds on stop-loss premiums in case of known moments up to the fourth order / rank | |||
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| Property / cites work: Best bounds for positive distributions with fixed moments / rank | |||
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| Property / cites work: Q3742575 / rank | |||
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| Property / cites work: Q3692679 / rank | |||
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Latest revision as of 17:18, 17 June 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Extremal values of stop-loss premiums under moment constraints |
scientific article |
Statements
Extremal values of stop-loss premiums under moment constraints (English)
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1986
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A method is described to compute best upper and lower bounds for stop- loss premiums with a fixed retention for bounded random variables having moments \(\mu_ 0,\mu_ 1,...,\mu_ n\). Similar methods can be used when specific additional information is available.
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fixed moments
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extremal distributions
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best upper and lower bounds
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stop- loss premiums
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fixed retention
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