Best bounds for expected financial payoffs. II: Applications
[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.
scientific article; zbMATH DE number 1084097
scientific article