Moment bounds on discrete expected stop-loss transforms, with applications
(2007) Methodology and Computing in Applied Probability — Vol. 11, p. 307-338 (2007)
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- Authors
- Abstract
- This paper shows how to make the best possible use of the information contained in the first few moments (mean, variance and skewness, say) of an integer-valued random variable when one is interested in expected stop-loss transforms. This allows to bound various quantities in applied probability, including the ruin probabilities, for instance.
- Affiliations
Louvain School of Management
Citations
Courtois, C., & Denuit, M. (2007). Moment bounds on discrete expected stop-loss transforms, with applications. Methodology and Computing in Applied Probability, 11, 307-338. https://doi.org/10.1007/s11009-007-9048-0 (Original work published 2007)