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An Illustration of the Duality Technique in Semi-Continuous Linear Programming

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  • De Vylder, F.

Abstract

We gıve a complete parametrıc solutıon of the followıng problem: Fınd a claım sıze dıstrıbutıon F on the fınıte ınterval [ο, ω], maxımizıng the stop-loss premıum correspondıng to a gıven excess e, under the constraınts that the fırst moment of F be at most equal to μ and the second at most equal to ν The method used ıs the dualıty technıque ın semı-contınuous lınear programmıng descrıbed in De Vylder (1978) Thıs technıque ıs summarızed, wıthout proofs, ın the fırst part of the paper.

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  • De Vylder, F., 1980. "An Illustration of the Duality Technique in Semi-Continuous Linear Programming," ASTIN Bulletin, Cambridge University Press, vol. 11(1), pages 17-28, June.
    • Handle: RePEc:cup:astinb:v:11:y:1980:i:01:p:17-28_00
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    Cited by:

    1. Denuit, Michel & Vylder, Etienne De & Lefevre, Claude, 1999. "Extremal generators and extremal distributions for the continuous s-convex stochastic orderings," Insurance: Mathematics and Economics, Elsevier, vol. 24(3), pages 201-217, May.

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