Computing bounds on the expected payoff of Alternative Risk Transfer products

DOI10.1016/J.INSMATHECO.2012.03.012MaRDI QIDQ2445341zbMATH OpenOpenAlexWikidataFDO

Authors Andrés M. Villegas, Andrés L. Medaglia, Luis Fernando Zuluaga

Publication date 14 April 2014

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2012.03.012

zbMATH Keywords

Alternative Risk TransferDantzig-Wolfe decompositionoption pricingreinsurancesemiparametric bounds

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A global representation of multidimensional piecewise-linear functions with linear partitions
• A mean value theorem for systems of integrals
• Best bounds for expected financial payoffs. I: Algorithmic evaluation
• Best bounds for expected financial payoffs. II: Applications
• Catastrophe options with stochastic interest rates and compound Poisson losses
• Computing general static-arbitrage bounds for European basket options via Dantzig-Wolfe decomposition
• Distribution-free option pricing
• Extremal values of stop-loss premiums under moment constraints
• Generalized Chebychev Inequalities: Theory and Applications in Decision Analysis
• On the Relation Between Option and Stock Prices: A Convex Optimization Approach
• Portfolio selection with skewness
• Semidefinite optimization
• Static arbitrage bounds on basket option prices
• Static-arbitrage lower bounds on the prices of basket options via linear programming
• Static-arbitrage optimal subreplicating strategies for basket options
• Upper bounds on stop-loss premiums in case of known moments up to the fourth order
• Valuation of structured risk management products

Cited in

(3)

• Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables
• Technical Note—A Risk- and Ambiguity-Averse Extension of the Max-Min Newsvendor Order Formula
• Valuation of structured risk management products

Describes a project that uses

Uses Software

• TOMLAB

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