Best bounds on the stop-loss premium in case of known range, expectation, variance and mode of the risk

DOI10.1016/0167-6687(83)90023-9zbMath0519.62092OpenAlexW1996196104MaRDI QIDQ1054433

Marc J. Goovaerts, F. Etienne De Vylder

Publication date: 1983

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

Full work available at URL: https://doi.org/10.1016/0167-6687(83)90023-9

zbMATH Keywords

unimodal distributionretention limitanalytical calculationsbest bounds on stop-loss premiumconvex methods

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (5)

How retention levels influence the variability of the total risk under reinsurance ⋮ A new method for deriving bounds for integrals with respect to measures allowed to vary under conical and integral constraints ⋮ Variance Bounds for Functions of Unimodal Random Variable ⋮ Worst case risk measurement: back to the future? ⋮ Bound on integrals: Elimination of the dual and reduction of the number of equality constraints

Cites Work

• Bound on integrals: Elimination of the dual and reduction of the number of equality constraints
• Maximization, under equality constraints, of a functional of a probability distribution

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