IDEAS home Printed from https://ideas.repec.org/p/ant/wpaper/2006019.html
   My bibliography  Save this paper

Risk management under incomplete information: Exact upper and lower bounds for the probability to reach extreme values

Author

Listed:
  • DE SCHEPPER, Ann
  • HEIJNEN, Bart

Abstract

A key problem in financial and actuarial research, and particularly in the field of risk management, is the choice of models so as to avoid systematic biases in the measurement of risk. An alternative consists of working with incomplete information, by fixing only a number of parameters instead of a complete distribution, which results in bounds instead of unique results. In the present contribution, we present upper and lower bounds for tail probabilities or probabilities to reach extreme values, in case the information about the underlying distribution is restricted to successive moments, and possibly the mode. Part of these results were already published earlier, but we present them here in a uniform and clear way, and we add results for the case of three moments.

Suggested Citation

  • DE SCHEPPER, Ann & HEIJNEN, Bart, 2006. "Risk management under incomplete information: Exact upper and lower bounds for the probability to reach extreme values," Working Papers 2006019, University of Antwerp, Faculty of Business and Economics.
    • Handle: RePEc:ant:wpaper:2006019
    as

    Download full text from publisher

    File URL: https://repository.uantwerpen.be/docman/irua/f3306c/01e89501.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. DE SCHEPPER, Ann & HEIJNEN, Bart, 2006. "Risk management under incomplete information: Exact upper and lower bounds for the Value at Risk," Working Papers 2006020, University of Antwerp, Faculty of Business and Economics.
    2. Heijnen, B., 1990. "Best upper and lower bounds on modified stop loss premiums in case of known range, mode, mean and variance of the original risk," Insurance: Mathematics and Economics, Elsevier, vol. 9(2-3), pages 207-220, September.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. DE SCHEPPER, Ann & HEIJNEN, Bart, 2006. "Risk management under incomplete information: Exact upper and lower bounds for the Value at Risk," Working Papers 2006020, University of Antwerp, Faculty of Business and Economics.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    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.
    2. 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.
    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.

    More about this item

    Keywords

    Risk management; Incomplete information; Tail probability; Extreme values;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General
    • C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ant:wpaper:2006019. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Joeri Nys (email available below). General contact details of provider: https://edirc.repec.org/data/ftufsbe.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.