Best bounds for expected financial payoffs. II: Applications

DOI10.1016/S0377-0427(97)00055-1MaRDI QIDQ1372065zbMATH OpenOpenAlexFDO

Authors Werner Hürlimann

Publication date 25 May 1998

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

Full work available at URL https://doi.org/10.1016/s0377-0427(97)00055-1

zbMATH Keywords

piecewise linearbest boundstriatomic riskstwo-layers stop-loss contracts

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 3431582 (Why is no real title available?)
• Best bounds for expected financial payoffs. I: Algorithmic evaluation
• Best upper and lower bounds on modified stop loss premiums in case of known range, mode, mean and variance of the original risk
• Best upper bounds on risks altered by deductibles under incomplete information
• Extensions of Ohlin's lemma with applications to optimal reinsurance structures
• Insurance pricing and increased limits ratemaking by proportional hazards transforms
• Optimal insurance and generalized deductibles
• Optimal reinsurance in relation to ordering of risks
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• Upper bounds on stop-loss premiums in case of known moments up to the fourth order

Cited in

(11)

• Computation of convex bounds for present value functions with random payments
• On distribution-free safe layer-additive pricing
• Best upper bounds on risks altered by deductibles under incomplete information
• Bounds for Actuarial Present Values Under the Fractional Independence Assumption
• Bounds for expected payoff on two stocks
• An improved Laguerre-Samuelson inequality of Chebyshev-Markov type
• Computing bounds on the expected payoff of Alternative Risk Transfer products
• Non-optimality of a linear combination of proportional and non-proportional reinsurance
• Truncated linear zero utility pricing and actuarial protection models
• Analytical Bounds for two Value-at-Risk Functionals
• Best bounds for expected financial payoffs. I: Algorithmic evaluation

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