Maximization of the variance of a stop-loss reinsured risk

DOI10.1016/0167-6687(83)90015-XzbMath0513.62102OpenAlexW1973727171MaRDI QIDQ1050738

Marc J. Goovaerts, F. Etienne De Vylder

Publication date: 1983

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(83)90015-x

zbMATH Keywords

dual problemmaximization of variance of stop-loss reinsured riskretention limit

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic programming (90C15)

Related Items (5)

On distributional robust probability functions and their computations ⋮ Computing best bounds for nonlinear risk measures with partial information ⋮ Worst case risk measurement: back to the future? ⋮ Maximization, under equality constraints, of a functional of a probability distribution ⋮ Extremal generators and extremal distributions for the continuous \(s\)-convex stochastic orderings

Cites Work

• Unnamed Item
• Representation theorems for extremal distributions
• Best upper bounds for integrals with respect to measures allowed to vary under conical and integral constraints
• Numerical best bounds on stop-loss premiums
• Maximization, under equality constraints, of a functional of a probability distribution
• Analytical best upper bounds on stop-loss premiums
• Duality theory for bounds on integrals with applications to stop-loss premiums
• Upper bounds on stop-loss premiums under constraints on claim size distribution

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