Best bounds for expected financial payoffs. II: Applications
DOI10.1016/S0377-0427(97)00055-1zbMATH Open0887.65150OpenAlexW2069082367MaRDI QIDQ1372065FDOQ1372065
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
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Cites Work
- Optimal reinsurance in relation to ordering of risks
- Insurance pricing and increased limits ratemaking by proportional hazards transforms
- Optimal insurance and generalized deductibles
- Upper bounds on stop-loss premiums in case of known moments up to the fourth order
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- 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
- Best bounds for expected financial payoffs. I: Algorithmic evaluation
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Cited In (11)
- Computing bounds on the expected payoff of Alternative Risk Transfer products
- On distribution-free safe layer-additive pricing
- Truncated linear zero utility pricing and actuarial protection models
- Computation of convex bounds for present value functions with random payments
- Non-optimality of a linear combination of proportional and non-proportional reinsurance
- 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
- Bounds for expected payoff on two stocks
- Best bounds for expected financial payoffs. I: Algorithmic evaluation
- Best upper bounds on risks altered by deductibles under incomplete information
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