Best bounds for expected financial payoffs. I: Algorithmic evaluation
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Publication:1372064
DOI10.1016/S0377-0427(97)00053-8zbMATH Open0887.65149MaRDI QIDQ1372064FDOQ1372064
Authors: Werner Hürlimann 
Publication date: 25 May 1998
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Recommendations
Probabilistic methods, stochastic differential equations (65C99) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60)
Cites Work
- Optimal reinsurance in relation to ordering of risks
- Title not available (Why is that?)
- 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
- Title not available (Why is that?)
- Title not available (Why is that?)
- Best bounds for expected financial payoffs. II: Applications
- A numerical approach to utility functions in risk theory
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
- Bounds for Actuarial Present Values Under the Fractional Independence Assumption
- An improved Laguerre-Samuelson inequality of Chebyshev-Markov type
- Best bounds for expected financial payoffs. II: Applications
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