Best bounds for expected financial payoffs. I: Algorithmic evaluation

DOI10.1016/S0377-0427(97)00053-8MaRDI QIDQ1372064zbMATH OpenFDO

Authors Werner Hürlimann

Publication date 25 May 1998

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

algorithmreinsurancederivativespiecewise linearbest boundstriatomic risks

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

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• scientific article; zbMATH DE number 53912 (Why is no real title available?)
• scientific article; zbMATH DE number 3246461 (Why is no real title available?)
• A numerical approach to utility functions in risk theory
• Best bounds for expected financial payoffs. II: Applications
• Optimal reinsurance in relation to ordering of risks
• The extrema of probability determined by generalized moments. I: Bounded random variables
• Upper bounds on stop-loss premiums in case of known moments up to the fourth order

Cited in

(7)

• Computing bounds on the expected payoff of Alternative Risk Transfer products
• On distribution-free safe layer-additive pricing
• Computation of convex bounds for present value functions with random payments
• Analytical Bounds for two Value-at-Risk Functionals
• An improved Laguerre-Samuelson inequality of Chebyshev-Markov type
• Bounds for Actuarial Present Values Under the Fractional Independence Assumption
• Best bounds for expected financial payoffs. II: Applications

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