Insurance calculations using incomplete information

DOI10.1080/03461238.1985.10413782MaRDI QIDQ3736782zbMATH OpenOpenAlexFDO

Authors Patrick L. Brockett, S. H. jun. Cox

Publication date 1985

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

Full work available at URL https://doi.org/10.1080/03461238.1985.10413782

zbMATH Keywords

Chebyshev systemscollective risk theoryenvelope estimatesinitial reserve levelsMarkov-Krein theoremruin probabilitytight upper and lower boundsunimodalityutility function

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Utility theory (91B16)

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Cites work

• Best upper bounds for integrals with respect to measures allowed to vary under conical and integral constraints
• Bounds for the optimal critical claim size of a bonus system
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• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• Maximization, under equality constraints, of a functional of a probability distribution

Cited in

(15)

• Extremal generators and extremal distributions for the continuous \(s\)-convex stochastic orderings
• The solution of Schmitter's simple problem: Numerical illustration
• General restrictions on tail probabilities
• On the randomized Schmitter problem
• An upper bound on the cycle time of a stochastic marked graph using incomplete information on the transition firing time distributions
• Computing best bounds for nonlinear risk measures with partial information
• Best upper and lower bounds on modified stop loss premiums in case of known range, mode, mean and variance of the original risk
• Best upper bounds on risks altered by deductibles under incomplete information
• On s-convex bounds for Beta-unimodal distributions with applications to basis risk assessment
• Accuracy in insurance billing error estimation using auxiliary information
• Moment Problem and Its Applications to Risk Assessment
• Application of Risk Theory to Interpretation of Stochastic Cash-Flow-Testing Results
• Worst case risk measurement: back to the future?
• Second-order bounds for the M/M/s queue with random arrival rate
• How to estimate the value at risk under incomplete information

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