Numerical best bounds on stop-loss premiums
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Publication:1171350
DOI10.1016/0167-6687(82)90029-4zbMath0498.62089OpenAlexW2000933849MaRDI QIDQ1171350
J. Haezendonck, F. Etienne De Vylder, Marc J. Goovaerts
Publication date: 1982
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0167-6687(82)90029-4
dual problemconcave functionsunimodal distributionstop-loss premiumsretention limitinfinite number of linear inequality constraintsnumerical best bounds
Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of mathematical programming (90C90) Linear programming (90C05)
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Cites Work
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- Best upper bounds for integrals with respect to measures allowed to vary under conical and integral constraints
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- Upper bounds on stop-loss premiums under constraints on claim size distribution
