Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5076885 | Insurance: Mathematics and Economics | 2013 | 27 Pages |
Abstract
⺠Provide an exact solution method for moment bounds of measures of a nonlinear risk. ⺠The measures include stop-loss premium and probability. ⺠The nonlinearity is in the form of polynomial or fractional polynomial. ⺠Show how to apply Nesterov's result for SDP formulations in the application. ⺠An annuity example illustrates the application in risk management.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Man Hong Wong, Shuzhong Zhang,