Moment bounds on discrete expected stop-loss transforms, with applications
From MaRDI portal
Publication:835681
DOI10.1007/s11009-007-9048-0zbMath1171.60318OpenAlexW2053700001MaRDI QIDQ835681
Cindy Courtois, Michel M. 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
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (4)
On the relationship between the discrete and continuous bounding moment problems and their numerical solutions ⋮ How retention levels influence the variability of the total risk under reinsurance ⋮ Robust newsvendor problems: effect of discrete demands ⋮ The value of shape constraints in discrete moment problems: a review and extension
Cites Work
- Comonotonic bounds on the survival probabilities in the Lee--Carter model for mortality projection
- Upper bounds on stop-loss premiums in case of known moments up to the fourth order
- Extremal generators and extremal distributions for the continuous \(s\)-convex stochastic orderings
- Some new classes of stochastic order relations among arithmetic random variables, with applications in actuarial sciences
- A Poisson log-bilinear regression approach to the construction of projected lifetables.
- Conditional value-at-risk bounds for compound Poisson risks and a normal approximation
- On \(s\)-convex stochastic extrema for arithmetic risks
- Discrete \(s\)-convex extremal distributions: theory and applications
- Improved analytical bounds for gambler's ruin probabilities
- Analytical Bounds for two Value-at-Risk Functionals
This page was built for publication: Moment bounds on discrete expected stop-loss transforms, with applications
