Best upper bounds on risks altered by deductibles under incomplete information

DOI10.1080/03461238.1989.10413853zbMath0706.62096OpenAlexW2164353697MaRDI QIDQ3486714

Marc J. Goovaerts, Bart Heijnen

Publication date: 1989

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.1989.10413853

zbMATH Keywords

momentspolynomialsriskincomplete informationmodebest upper boundsKhinchine transformdisappearing deductiblesfranchise deductiblesstraight deductiblesthree point distributiontwo point distribution

Mathematics Subject Classification ID

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

Related Items (7)

How to estimate the value at risk under incomplete information ⋮ Best upper and lower bounds on modified stop loss premiums in case of known range, mode, mean and variance of the original risk ⋮ Best bounds for expected financial payoffs. II: Applications ⋮ Bounds for the mean system size in \(M/G/1/K\)-queues ⋮ On the use of bounds on the stop-loss premium for an inventory management decision problem ⋮ Distribution-free option pricing ⋮ Extremal generators and extremal distributions for the continuous \(s\)-convex stochastic orderings

Cites Work

• Upper bounds on stop-loss premiums in case of known moments up to the fourth order
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