Best bounds for expected financial payoffs. II: Applications
type: Item
instance of: scholarly article
title: Best bounds for expected financial payoffs. II: Applications
zbMATH Open document ID: 0887.65150
DOI: 10.1016/S0377-0427(97)00055-1
author: Werner Hürlimann
published in: Journal of Computational and Applied Mathematics
publication date: 1998-05-25T00:00:00Z
review text: [For part I see ibid. 82, No. 1-2, 199-212 (1997; reviewed above).] Based on a general algorithm to determine best bounds for expected piecewise linear payoffs, several important examples are treated in a unified manner. Tables of best bounds are given for the stop-loss, limited stop-loss, franchise and disappearing deductible, and two-layers stop-loss contracts. In the last example the maximal bound can only be obtained numerically.
Mathematics Subject Classification ID: 65C99
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 1084097
zbMATH Keywords: best bounds
zbMATH Keywords: triatomic risks
zbMATH Keywords: piecewise linear
zbMATH Keywords: two-layers stop-loss contracts
reviewed by: George S. Stavrakakis
MaRDI profile type: Publication
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full work available at URL: s0377-0427(97)00055-1
OpenAlex ID: W2069082367
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description: scientific article; zbMATH DE number 1084097