Duality theory for bounds on integrals with applications to stop-loss premiums

DOI10.1080/03461238.1983.10408698MaRDI QIDQ3672950zbMATH OpenOpenAlexFDO

Authors Floriaen E. C. De Vylder

Publication date 1983

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03461238.1983.10408698

zbMATH Keywords

dual linear problemmaximization of integral under constraintspolar functionssharp upper bounds on stop loss premiums

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Convex programming (90C25)

Cites work

• scientific article; zbMATH DE number 3504682 (Why is no real title available?)
• scientific article; zbMATH DE number 3634008 (Why is no real title available?)
• Numerical best bounds on stop-loss premiums
• Upper bounds on stop-loss premiums under constraints on claim size distribution
• Upper bounds on stop-loss premiums under constraints on claim size distributions as derived from representation theorems for distribution functions

Cited in

(10)

• Maximization of the variance of a stop-loss reinsured risk
• A new method for deriving bounds for integrals with respect to measures allowed to vary under conical and integral constraints
• Numerical best bounds on stop-loss premiums
• Maximization, under equality constraints, of a functional of a probability distribution
• A partially observable decision problem under a shifted likelihood ratio ordering
• Properties of a job search problem on a partially observable Markov chain in a dynamic economy
• Stop-loss ordering for scale and power mixtures of distributions
• A Stochastic Ordering and Related Sequential Decision Problems
• Upper and lower bounds on infinite time ruin probabilities in case of constraints on claim size distributions
• Worst case risk measurement: back to the future?

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