Bounds for stop-loss premium under restrictions on \(I\)-divergence

DOI10.1016/S0167-6687(98)00023-7zbMath0912.62116WikidataQ126803789 ScholiaQ126803789MaRDI QIDQ1277807

Dennis L. Bricker, Lina Xu, Kenneth O. Kortanek

Publication date: 26 May 1999

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

zbMATH Keywords

I-divergencecross-entropystop-loss premiumI-projectionsKullback-Leibler information numbergeneralized geometric programming duality

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• An iterative procedure for obtaining I-projections onto the intersection of convex sets
• The role of duality in optimization problems involving entropy functionals with applications to information theory
• I-divergence geometry of probability distributions and minimization problems
• Computational aspects ofl-projections
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