Numerical best bounds on stop-loss premiums

DOI10.1016/0167-6687(82)90029-4zbMath0498.62089OpenAlexW2000933849MaRDI QIDQ1171350

J. Haezendonck, F. Etienne De Vylder, Marc J. Goovaerts

Publication date: 1982

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

Full work available at URL: https://doi.org/10.1016/0167-6687(82)90029-4

zbMATH Keywords

dual problemconcave functionsunimodal distributionstop-loss premiumsretention limitinfinite number of linear inequality constraintsnumerical best bounds

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of mathematical programming (90C90) Linear programming (90C05)

Related Items (14)

Best upper and lower bounds on modified stop loss premiums in case of known range, mode, mean and variance of the original risk ⋮ General restrictions on tail probabilities ⋮ On the use of bounds on the stop-loss premium for an inventory management decision problem ⋮ Computing best bounds for nonlinear risk measures with partial information ⋮ Moment Problem and Its Applications to Risk Assessment ⋮ Estimation of ruin probabilities ⋮ Worst case risk measurement: back to the future? ⋮ Maximization, under equality constraints, of a functional of a probability distribution ⋮ Worst-case scenario investment for insurers ⋮ Application of the problem of moments to derive bounds on integrals with integral constraints ⋮ Distribution-free option pricing ⋮ Maximization of the variance of a stop-loss reinsured risk ⋮ Extremal generators and extremal distributions for the continuous \(s\)-convex stochastic orderings ⋮ Duality theory for bounds on integrals with applications to stop-loss premiums

Cites Work

• Best upper bounds for integrals with respect to measures allowed to vary under conical and integral constraints
• Analytical best upper bounds on stop-loss premiums
• Duality theory for bounds on integrals with applications to stop-loss premiums
• Upper bounds on stop-loss premiums under constraints on claim size distributions as derived from representation theorems for distribution functions
• Upper bounds on stop-loss premiums under constraints on claim size distribution
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