Bounds on compound distributions and stop-loss premiums

DOI10.1016/0167-6687(85)90041-1MaRDI QIDQ1069644zbMATH OpenOpenAlexFDO

Authors J. Th. Runnenburg, Marc J. Goovaerts

Publication date 1985

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

Full work available at URL https://doi.org/10.1016/0167-6687(85)90041-1

zbMATH Keywords

Chebyshev inequalitystop-loss premiumsbounds for the tail of compound distributions

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Inequalities; stochastic orderings (60E15)

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Cites work

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• scientific article; zbMATH DE number 3892431 (Why is no real title available?)
• scientific article; zbMATH DE number 3256930 (Why is no real title available?)
• Approximation and estimation of some compound distributions
• Approximation of aggregate claims distributions by compound Poisson distributions
• Bounds on compound distributions and stop-loss premiums
• Error bounds for the compound Poisson approximation

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(18)

• Bounds for stop-loss premium under restrictions on \(I\)-divergence
• Two-Sided Bounds for Tails of Compound Negative Binomial Distributions in the Exponential and Heavy-Tailed Cases
• Limiting tail behaviour of some discrete compound distributions
• scientific article; zbMATH DE number 4013824 (Why is no real title available?)
• On the use of bounds on the stop-loss premium for an inventory management decision problem
• Upper bounds on stop-loss premiums in case of known moments up to the fourth order
• On approximating aggregate claims distributions and stop-loss premiums by truncation
• A Unified Approach to Generate Risk Measures
• scientific article; zbMATH DE number 3978233 (Why is no real title available?)
• Bounds on compound distributions and stop-loss premiums
• Refinements of bounds for tails of compound distributions and ruin probabilities
• Berry-Esseen bounds for compound-Poisson loss percentiles
• scientific article; zbMATH DE number 3960842 (Why is no real title available?)
• Aging properties and bounds for ruin probabilities and stop-loss premiums
• scientific article; zbMATH DE number 3978235 (Why is no real title available?)
• Two-sided bounds for renewal equations and ruin quantities
• Bounds on stop-loss premiums and ruin probabilities
• Equilibrium compound distributions and stop-loss moments

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