Best bounds for positive distributions with fixed moments

DOI10.1016/0167-6687(86)90013-2zbMath0593.62112OpenAlexW2024517034MaRDI QIDQ1076468

Marc J. Goovaerts, Rob Kaas

Publication date: 1986

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

Full work available at URL: https://doi.org/10.1016/0167-6687(86)90013-2

zbMATH Keywords

approximationproblem of momentsextremal distributionsbounds for integralsmoment constraintsclaim distributionsnormal powerNP2 approximationspectrum constraints

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Orthogonal polynomials and functions of hypergeometric type (Jacobi, Laguerre, Hermite, Askey scheme, etc.) (33C45) Integrals of Riemann, Stieltjes and Lebesgue type (26A42)

Related Items (13)

Extremal values of stop-loss premiums under moment constraints ⋮ On the randomized Schmitter problem ⋮ Analysis of risk bounds in partially specified additive factor models ⋮ Basis risk management and randomly scaled uncertainty ⋮ Range value-at-risk bounds for unimodal distributions under partial information ⋮ Computing best bounds for nonlinear risk measures with partial information ⋮ Moment Problem and Its Applications to Risk Assessment ⋮ Worst-Case Range Value-at-Risk with Partial Information ⋮ Decomposing aggregate risk into marginal risks under partial information: A top-down method ⋮ On s-convex bounds for Beta-unimodal distributions with applications to basis risk assessment ⋮ Upper bounds for strictly concave distortion risk measures on moment spaces ⋮ Bounds on the value-at-risk for the sum of possibly dependent risks ⋮ Extremal generators and extremal distributions for the continuous \(s\)-convex stochastic orderings

Cites Work

• Application of the problem of moments to derive bounds on integrals with integral constraints
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