Extremal values of stop-loss premiums under moment constraints
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A method is described to compute best upper and lower bounds for stop- loss premiums with a fixed retention for bounded random variables having moments \(\mu_ 0,\mu_ 1,...,\mu_ n\). Similar methods can be used when specific additional information is available.
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Cites work
- Application of the problem of moments to derive bounds on integrals with integral constraints
- Best bounds for positive distributions with fixed moments
- scientific article; zbMATH DE number 3844885 (Why is no real title available?)
- scientific article; zbMATH DE number 3917520 (Why is no real title available?)
- scientific article; zbMATH DE number 3978233 (Why is no real title available?)
- Upper bounds on stop-loss premiums in case of known moments up to the fourth order
Cited in
(31)- Best bounds for positive distributions with fixed moments
- Upper bounds on stop-loss premiums in case of known moments up to the fourth order
- A new method for deriving bounds for integrals with respect to measures allowed to vary under conical and integral constraints
- Bounds on stop-loss premiums and ruin probabilities
- Bounds for stop-loss premium under restrictions on \(I\)-divergence
- Extremal generators and extremal distributions for the continuous \(s\)-convex stochastic orderings
- Upper stop-loss bounds for sums of possibly dependent risks with given means and variances
- Application of the problem of moments to derive bounds on integrals with integral constraints
- Orthogonal polynomial expansions to evaluate stop-loss premiums
- Computing bounds on the expected payoff of Alternative Risk Transfer products
- Best upper and lower bounds on modified stop loss premiums in case of known range, mode, mean and variance of the original risk
- scientific article; zbMATH DE number 4013821 (Why is no real title available?)
- Best upper bounds on risks altered by deductibles under incomplete information
- On the use of bounds on the stop-loss premium for an inventory management decision problem
- Extremal moment methods and stochastic orders. Application in actuarial science
- scientific article; zbMATH DE number 3917520 (Why is no real title available?)
- scientific article; zbMATH DE number 3960842 (Why is no real title available?)
- scientific article; zbMATH DE number 3978233 (Why is no real title available?)
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- The bounds of premium and optimality of stop loss insurance under uncertain random environments
- scientific article; zbMATH DE number 232288 (Why is no real title available?)
- Moment Problem and Its Applications to Risk Assessment
- Boundary calculus for the premiums by exceeding the loss of the rik functions in the presence of partial information on their margins
- Equilibrium compound distributions and stop-loss moments
- Some properties of stop-loss moments under biased sampling
- Worst-case distortion risk measures of transformed losses with uncertain distributions lying in Wasserstein balls
- Worst-case risk measures of stop-loss and limited loss random variables under distribution uncertainty with applications to robust reinsurance
- Approximation of stop-loss premiums involving sums of lognormals by conditioning on two variables
- Moment bounds on discrete expected stop-loss transforms, with applications
- How retention levels influence the variability of the total risk under reinsurance
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