Best bounds for expected financial payoffs. I: Algorithmic evaluation

DOI10.1016/S0377-0427(97)00053-8zbMath0887.65149MaRDI QIDQ1372064

Werner Hürlimann

Publication date: 25 May 1998

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

zbMATH Keywords

algorithmderivativesreinsurancepiecewise linearbest boundstriatomic risks

Mathematics Subject Classification ID

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

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

Cites Work

• The extrema of probability determined by generalized moments. I: Bounded random variables
• A numerical approach to utility functions in risk theory
• Upper bounds on stop-loss premiums in case of known moments up to the fourth order
• Best bounds for expected financial payoffs. II: Applications
• Optimal reinsurance in relation to ordering of risks
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