Title of article
Best bounds for expected financial payoffs II: Applications
Author/Authors
Hürlimann، نويسنده , , Werner، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1997
Pages
15
From page
213
To page
227
Abstract
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
Keywords
Triatomic risks , Reinsurance , derivatives , piecewise linear , Best bounds , algorithm
Journal title
Journal of Computational and Applied Mathematics
Serial Year
1997
Journal title
Journal of Computational and Applied Mathematics
Record number
1548199
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