Bound on integrals: Elimination of the dual and reduction of the number of equality constraints

DOI10.1016/0167-6687(83)90008-2zbMath0519.90066OpenAlexW2005630453MaRDI QIDQ1054639

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)90008-2

zbMATH Keywords

equality constraintsdual problemspolar functionbipolar functionconvex set of probability distributionsexistence of particular solutionsprimal problemupper concave regularization

Mathematics Subject Classification ID

Convex programming (90C25) Probabilistic methods, stochastic differential equations (65C99)

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Cites Work

• Unnamed Item
• Best bounds on the stop-loss premium in case of known range, expectation, variance and mode of the risk
• Best upper bounds for integrals with respect to measures allowed to vary under conical and integral constraints
• Maximization, under equality constraints, of a functional of a probability distribution
• Analytical best upper bounds on stop-loss premiums
• Convex Sets

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