Duality theory for bounds on integrals with applications to stop-loss premiums

DOI10.1080/03461238.1983.10408698zbMath0522.62087OpenAlexW2014131306MaRDI QIDQ3672950

F. Etienne De Vylder

Publication date: 1983

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.1983.10408698

zbMATH Keywords

polar functionsdual linear problemmaximization of integral under constraintssharp upper bounds on stop loss premiums

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Convex programming (90C25)

Related Items (10)

A new method for deriving bounds for integrals with respect to measures allowed to vary under conical and integral constraints ⋮ A partially observable decision problem under a shifted likelihood ratio ordering ⋮ Upper and lower bounds on infinite time ruin probabilities in case of constraints on claim size distributions ⋮ A Stochastic Ordering and Related Sequential Decision Problems ⋮ Numerical best bounds on stop-loss premiums ⋮ Worst case risk measurement: back to the future? ⋮ Maximization, under equality constraints, of a functional of a probability distribution ⋮ Stop-loss ordering for scale and power mixtures of distributions ⋮ Properties of a job search problem on a partially observable Markov chain in a dynamic economy ⋮ Maximization of the variance of a stop-loss reinsured risk

Cites Work

• Numerical best bounds on 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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