Moment Problem and Its Applications to Risk Assessment

DOI10.1080/10920277.2017.1302805zbMath1414.91236OpenAlexW2615710771MaRDI QIDQ5379219

Ruilin Tian, Luis F. Zuluaga, S. H. jun. Cox

Publication date: 28 May 2019

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2017.1302805

zbMATH Keywords

semidefinite programminglinear approximationrisk assessmentmoment boundsmoment-matching method

Mathematics Subject Classification ID

Related Items (3)

Technical Note—On Matrix Exponential Differentiation with Application to Weighted Sum Distributions ⋮ Random variables with moment-matching staircase density functions ⋮ The Discrete Moment Problem with Nonconvex Shape Constraints

Uses Software

• Sostools
• SeDuMi
• GloptiPoly
• YALMIP

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Generalized Gauss inequalities via semidefinite programming
• How to estimate the value at risk under incomplete information
• Bounds on convex reliability functions with known first moments
• Convex bounds on multiplicative processes, with applications to pricing in incomplete markets
• Distribution-free option pricing
• On lower bounds for tail probabilities
• Bounds and approximations for sums of dependent log-elliptical random variables
• Best bounds for positive distributions with fixed moments
• Extremal values of stop-loss premiums under moment constraints
• Numerical best bounds on stop-loss premiums
• Application of the problem of moments to derive bounds on integrals with integral constraints
• A bounded degree SOS hierarchy for polynomial optimization
• Computing best bounds for nonlinear risk measures with partial information
• Best upper and lower bounds on modified stop loss premiums in case of known range, mode, mean and variance of the original risk
• A description of all solutions of the matrix Hamburger moment problem in a general case
• Generalized Chebyshev Bounds via Semidefinite Programming
• On the Relation Between Option and Stock Prices: A Convex Optimization Approach
• Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
• Insurance calculations using incomplete information
• Analytical Bounds for two Value-at-Risk Functionals
• Multiplicative Structure of the Resolvent Matrix for the Truncated Hausdorff Matrix Moment Problem
• Optimal Inequalities in Probability Theory: A Convex Optimization Approach
• GloptiPoly
• A Semidefinite Programming Approach to Optimal-Moment Bounds for Convex Classes of Distributions
• SYSTEMS OF FREQUENCY CURVES GENERATED BY METHODS OF TRANSLATION
• Bounds on a Distribution Function when its First $n$ Moments are Given
• Systems of frequency curves derived from the first law of Laplace
• Loss Models

This page was built for publication: Moment Problem and Its Applications to Risk Assessment