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
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
Journal title :
Journal of Computational and Applied Mathematics