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Title: Extremal values of stop-loss premiums under moment constraints
Authors: Kaas, Robert ×
Goovaerts, Marc #
Issue Date: 1986
Series Title: Insurance: Mathematics & Economics vol:5 issue:4 pages:279-283
Abstract: A method for computing best upper and lower bounds for stop-loss premiums with a fixed retention for bounded random variables with specific moments is presented. The method is based on the theory presented in Goovaerts and Kaas (1985) and Kaas and Goovaerts (1986). The sequence of moments is assumed to be such that no degenerate solution exists. The proposed method works well for a moderately large number of moments. Some more refined applications of the same methods are considered. Similar methods are useful when specific additional information is available
ISSN: 0167-6687
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Research Center Insurance, Leuven
× corresponding author
# (joint) last author

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