Maximization, under equality constraints, of a functional of a probability distribution
type: Item
instance of: scholarly article
title: Maximization, under equality constraints, of a functional of a probability distribution
zbMATH Open document ID: 0501.90071
DOI: 10.1016/0167-6687(83)90002-1
published in: Insurance Mathematics \& Economics
publication date: 1983-01-01T00:00:00Z
Mathematics Subject Classification ID: 90C15
Mathematics Subject Classification ID: 65C99
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 3790217
zbMATH Keywords: equality constraints
zbMATH Keywords: maximal variance
zbMATH Keywords: stop-loss reinsured risk
zbMATH Keywords: partial information on the risk
zbMATH Keywords: polar function
zbMATH Keywords: bipolar function
zbMATH Keywords: primal problem
zbMATH Keywords: dual problem
zbMATH Keywords: effective domain
zbMATH Keywords: maximization of probability
zbMATH Keywords: distribution functional
author: Floriaen E. C. De Vylder
MaRDI profile type: Publication
full work available at URL: 0167-6687(83)90002-1
OpenAlex ID: W1976428555
cites work: Best upper bounds for integrals with respect to measures allowed to vary under conical and integral constraints
cites work: Duality theory for bounds on integrals with applications to stop-loss premiums
cites work: Analytical best upper bounds on stop-loss premiums
cites work: Maximization of the variance of a stop-loss reinsured risk
cites work: Numerical best bounds on stop-loss premiums
cites work: Representation theorems for extremal distributions
cites work: Q4194725
cites work: Upper bounds on stop-loss premiums under constraints on claim size distribution
description: scientific article; zbMATH DE number 3790217