Worst-case scenario investment for insurers-Reference-Cited by-同舟云学术

Worst-case scenario investment for insurers

Published:2005-02 Issue:1 Volume:36 Page:1-11
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Korn Ralf

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference11 articles.

1. Optimal investment policies for a firm with a random risk process: exponential utility and minimizing the probability of ruin;Browne;Math. Operations Res.,1995

2. Best upper bounds for integrals with respect to measures allowed to vary under conical and integral constraints;De Vylder;Insurance: Math. Econ.,1982

3. Analytical best upper bounds for stop-loss premiums;De Vylder;Insurance: Math. Econ.,1982

4. Upper and lower bounds on stop-loss premiums in case of known expectation and variance of the risk variable;De Vylder;Mitt. der Verw. Schw. Vers. Math.,1982

5. Upper bounds on stop-loss premiums under constraints on claim size distributions as derived from representation theorems for distribution functions;Goovaerts;Scand. Actuarial J.,1980

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