How to estimate the value at risk under incomplete information
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Publication:847172
DOI10.1016/j.cam.2009.10.007zbMath1182.91099OpenAlexW2072299139MaRDI QIDQ847172
Publication date: 12 February 2010
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2009.10.007
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- Distribution-free option pricing
- Upper bounds on stop-loss premiums in case of known moments up to the fourth order
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- Best upper and lower bounds on modified stop loss premiums in case of known range, mode, mean and variance of the original risk
- Best upper bounds on risks altered by deductibles under incomplete information
- Insurance calculations using incomplete information
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