Upper bounds on stop-loss premiums under constraints on claim size distributions as derived from representation theorems for distribution functions

DOI10.1080/03461238.1980.10408649zbMath0446.62107OpenAlexW2136465928MaRDI QIDQ3891649

Marc J. Goovaerts, F. Etienne De Vylder

Publication date: 1980

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

Full work available at URL: https://doi.org/10.1080/03461238.1980.10408649

zbMATH Keywords

upper boundsconstraintsclaim size distributionsstop-loss premiumsrepresentation theorems for distributions

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Exact distribution theory in statistics (62E15) Characterization and structure theory of statistical distributions (62E10)

Related Items (8)

Upper bounds on stop-loss premiums in case of known moments up to the fourth order ⋮ Estimation of outstanding reinsurance recoveries on the basis of incomplete information ⋮ Estimation of ruin probabilities ⋮ Numerical best bounds on stop-loss premiums ⋮ Worst-case scenario investment for insurers ⋮ Integral representation and upper bounds for stop-loss premiums under constraints given by inequalities ⋮ Extremal generators and extremal distributions for the continuous \(s\)-convex stochastic orderings ⋮ Duality theory for bounds on integrals with applications to stop-loss premiums

Cites Work

• Upper bounds on stop-loss premiums under constraints on claim size distribution

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