Duality theory for bounds on integrals with applications to stop-loss premiums
DOI10.1080/03461238.1983.10408698zbMATH Open0522.62087OpenAlexW2014131306MaRDI QIDQ3672950FDOQ3672950
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
polar functionsdual linear problemmaximization of integral under constraintssharp upper bounds on stop loss premiums
Convex programming (90C25) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- 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)
- Properties of a job search problem on a partially observable Markov chain in a dynamic economy
- A new method for deriving bounds for integrals with respect to measures allowed to vary under conical and integral constraints
- Worst case risk measurement: back to the future?
- Upper and lower bounds on infinite time ruin probabilities in case of constraints on claim size distributions
- A partially observable decision problem under a shifted likelihood ratio ordering
- Stop-loss ordering for scale and power mixtures of distributions
- Maximization of the variance of a stop-loss reinsured risk
- A Stochastic Ordering and Related Sequential Decision Problems
- Maximization, under equality constraints, of a functional of a probability distribution
- Numerical best bounds on stop-loss premiums
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