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Analytical best upper bounds on stop-loss premiums

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  • De Vylder, F.
  • Goovaerts, M. J.

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  • De Vylder, F. & Goovaerts, M. J., 1982. "Analytical best upper bounds on stop-loss premiums," Insurance: Mathematics and Economics, Elsevier, vol. 1(3), pages 163-175, July.
    • Handle: RePEc:eee:insuma:v:1:y:1982:i:3:p:163-175
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    Cited by:

    1. Roos, Ernst & Brekelmans, Ruud & van Eekelen, Wouter & den Hertog, Dick & van Leeuwaarden, Johan S.H., 2022. "Tight tail probability bounds for distribution-free decision making," European Journal of Operational Research, Elsevier, vol. 299(3), pages 931-944.
    2. Claude Lefèvre & Stéphane Loisel & Pierre Montesinos, 2020. "Bounding Basis-Risk Using s-convex Orders on Beta-unimodal Distributions," Post-Print hal-02611227, HAL.
    3. van Eekelen, Wouter, 2023. "Distributionally robust views on queues and related stochastic models," Other publications TiSEM 9b99fc05-9d68-48eb-ae8c-9, Tilburg University, School of Economics and Management.
    4. Yuanying Guan & Zhanyi Jiao & Ruodu Wang, 2022. "A reverse ES (CVaR) optimization formula," Papers 2203.02599, arXiv.org, revised May 2023.
    5. Wong, Man Hong & Zhang, Shuzhong, 2013. "Computing best bounds for nonlinear risk measures with partial information," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 204-212.
    6. Hansjörg Albrecher & José Carlos Araujo-Acuna, 2022. "On The Randomized Schmitter Problem," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 515-535, June.
    7. Korn, Ralf, 2005. "Worst-case scenario investment for insurers," Insurance: Mathematics and Economics, Elsevier, vol. 36(1), pages 1-11, February.
    8. Wong, Man Hong & Zhang, Shuzhong, 2014. "On distributional robust probability functions and their computations," European Journal of Operational Research, Elsevier, vol. 233(1), pages 23-33.
    9. Edgars Jakobsons & Steven Vanduffel, 2015. "Dependence Uncertainty Bounds for the Expectile of a Portfolio," Risks, MDPI, vol. 3(4), pages 1-25, December.
    10. Schepper, Ann De & Heijnen, Bart, 2007. "Distribution-free option pricing," Insurance: Mathematics and Economics, Elsevier, vol. 40(2), pages 179-199, March.
    11. Goovaerts, Marc J. & Kaas, Rob & Laeven, Roger J.A., 2011. "Worst case risk measurement: Back to the future?," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 380-392.

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