Moment bounds on discrete expected stop-loss transforms, with applications

DOI10.1007/S11009-007-9048-0MaRDI QIDQ835681zbMATH OpenOpenAlexFDO

Authors Cindy Courtois, Michel Denuit

Publication date 31 August 2009

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-007-9048-0

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Inequalities; stochastic orderings (60E15)

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Cites work

• A Poisson log-bilinear regression approach to the construction of projected lifetables.
• Analytical Bounds for two Value-at-Risk Functionals
• Comonotonic bounds on the survival probabilities in the Lee--Carter model for mortality projection
• Conditional value-at-risk bounds for compound Poisson risks and a normal approximation
• Discrete s-convex extremal distributions: theory and applications
• Extremal generators and extremal distributions for the continuous \(s\)-convex stochastic orderings
• Improved analytical bounds for gambler's ruin probabilities
• On \(s\)-convex stochastic extrema for arithmetic risks
• Some new classes of stochastic order relations among arithmetic random variables, with applications in actuarial sciences
• Upper bounds on stop-loss premiums in case of known moments up to the fourth order

Cited in

(8)

• The value of shape constraints in discrete moment problems: a review and extension
• Robust newsvendor problems: effect of discrete demands
• Quantile based stop-loss transform and its applications
• On the relationship between the discrete and continuous bounding moment problems and their numerical solutions
• On characterizations of some bivariate continuous distributions by properties of higher-degree bivariate stop-loss transforms
• On higher-degree bivariate stop-loss transforms, with applications
• Some properties of stop-loss moments under biased sampling
• How retention levels influence the variability of the total risk under reinsurance

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