Application of the problem of moments to derive bounds on integrals with integral constraints

DOI10.1016/0167-6687(85)90004-6zbMath0559.62086OpenAlexW2036149298MaRDI QIDQ2266334

Rob Kaas, Marc J. Goovaerts

Publication date: 1985

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

Full work available at URL: https://doi.org/10.1016/0167-6687(85)90004-6

zbMATH Keywords

incomplete informationintegral constraintsproblem of momentsextremal distributionsclaim distributionstop-loss orderingbounds on integralsbounds on stop-loss premiums

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Orthogonal polynomials and functions of hypergeometric type (Jacobi, Laguerre, Hermite, Askey scheme, etc.) (33C45) Integrals of Riemann, Stieltjes and Lebesgue type (26A42) Functions of one variable (26A99)

Related Items (9)

Best bounds for positive distributions with fixed moments ⋮ Extremal values of stop-loss premiums under moment constraints ⋮ A new method for deriving bounds for integrals with respect to measures allowed to vary under conical and integral constraints ⋮ Computing best bounds for nonlinear risk measures with partial information ⋮ Moment Problem and Its Applications to Risk Assessment ⋮ Worst case risk measurement: back to the future? ⋮ Ordering of risks and ruin probabilities ⋮ Impact of dependence among multiple claims in a single loss ⋮ Extremal generators and extremal distributions for the continuous \(s\)-convex stochastic orderings

Cites Work

• Numerical best bounds on stop-loss premiums
• A class of orthogonal polynomials
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