Moment Problem and Its Applications to Risk Assessment
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Cites work
- A bounded degree SOS hierarchy for polynomial optimization
- A description of all solutions of the matrix Hamburger moment problem in a general case
- A Semidefinite Programming Approach to Optimal-Moment Bounds for Convex Classes of Distributions
- Analytical Bounds for two Value-at-Risk Functionals
- Application of the problem of moments to derive bounds on integrals with integral constraints
- Best bounds for positive distributions with fixed moments
- Best upper and lower bounds on modified stop loss premiums in case of known range, mode, mean and variance of the original risk
- Bounds and approximations for sums of dependent log-elliptical random variables
- Bounds on a Distribution Function when its First n Moments are Given
- Bounds on convex reliability functions with known first moments
- Computing best bounds for nonlinear risk measures with partial information
- Convex bounds on multiplicative processes, with applications to pricing in incomplete markets
- Distribution-free option pricing
- Extremal values of stop-loss premiums under moment constraints
- Generalized Chebyshev Bounds via Semidefinite Programming
- Generalized Gauss inequalities via semidefinite programming
- GloptiPoly
- How to estimate the value at risk under incomplete information
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- scientific article; zbMATH DE number 1138142 (Why is no real title available?)
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- scientific article; zbMATH DE number 3036561 (Why is no real title available?)
- Insurance calculations using incomplete information
- Loss Models
- Multiplicative structure of the resolvent matrix for the truncated Hausdorff matrix moment problem
- Numerical best bounds on stop-loss premiums
- On lower bounds for tail probabilities
- On the Relation Between Option and Stock Prices: A Convex Optimization Approach
- Optimal Inequalities in Probability Theory: A Convex Optimization Approach
- Systems of frequency curves derived from the first law of Laplace
- SYSTEMS OF FREQUENCY CURVES GENERATED BY METHODS OF TRANSLATION
- Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
- Worst-case VaR and CVaR
Cited in
(7)- An iterative algorithm to bound partial moments
- Bounding the values of financial derivatives by the use of the moment problem
- Random variables with moment-matching staircase density functions
- Computing best bounds for nonlinear risk measures with partial information
- Practical implications of higher moments in risk management
- The Discrete Moment Problem with Nonconvex Shape Constraints
- Technical note -- On matrix exponential differentiation with application to weighted sum distributions
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