Extremal values of stop-loss premiums under moment constraints

DOI10.1016/0167-6687(86)90023-5zbMath0609.62134OpenAlexW2001236646MaRDI QIDQ1086963

Rob Kaas, Marc J. Goovaerts

Publication date: 1986

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(86)90023-5

zbMATH Keywords

extremal distributionsfixed momentsbest upper and lower boundsfixed retentionstop- loss premiums

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (7)

Upper bounds on stop-loss premiums in case of known moments up to the fourth order ⋮ How retention levels influence the variability of the total risk under reinsurance ⋮ A new method for deriving bounds for integrals with respect to measures allowed to vary under conical and integral constraints ⋮ Moment Problem and Its Applications to Risk Assessment ⋮ Computing bounds on the expected payoff of Alternative Risk Transfer products ⋮ Bounds on stop-loss premiums and ruin probabilities ⋮ Extremal generators and extremal distributions for the continuous \(s\)-convex stochastic orderings

Cites Work

• Best bounds for positive distributions with fixed moments
• Upper bounds on stop-loss premiums in case of known moments up to the fourth order
• Application of the problem of moments to derive bounds on integrals with integral constraints
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