Best bounds for expected financial payoffs. II: Applications (Q1372065)
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English | Best bounds for expected financial payoffs. II: Applications |
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Best bounds for expected financial payoffs. II: Applications (English)
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25 May 1998
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[For part I see ibid. 82, No. 1-2, 199-212 (1997; reviewed above).] Based on a general algorithm to determine best bounds for expected piecewise linear payoffs, several important examples are treated in a unified manner. Tables of best bounds are given for the stop-loss, limited stop-loss, franchise and disappearing deductible, and two-layers stop-loss contracts. In the last example the maximal bound can only be obtained numerically.
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best bounds
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triatomic risks
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piecewise linear
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two-layers stop-loss contracts
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