de Vylder, F.; Goovaerts, M. Maximization of the variance of a stop-loss reinsured risk. (English) Zbl 0513.62102 Insur. Math. Econ. 2, 75-80 (1983). Page: −5 −4 −3 −2 −1 ±0 +1 +2 +3 +4 +5 Show Scanned Page Cited in 5 Documents MSC: 62P05 Applications of statistics to actuarial sciences and financial mathematics 90C15 Stochastic programming Keywords:maximization of variance of stop-loss reinsured risk; retention limit; dual problem Citations:Zbl 0501.90071 PDFBibTeX XMLCite \textit{F. de Vylder} and \textit{M. Goovaerts}, Insur. Math. Econ. 2, 75--80 (1983; Zbl 0513.62102) Full Text: DOI References: [1] De Vylder, F., Best upper bounds for integrals with respect to measures allowed to vary under conical and integral constraints, Insurance Math. Econom., 1, 2, 109-130 (1982) · Zbl 0488.49030 [2] De Vylder F. (subm.). Duality theory for bound on integrals with applications to stop-loss premiums. Scand. Actuarial J.; De Vylder F. (subm.). Duality theory for bound on integrals with applications to stop-loss premiums. Scand. Actuarial J. · Zbl 0522.62087 [3] De Vylder, F., Maximization, under equality constraints, of a functional of a probability distribution, Insurance Math. Econom., 2, 1, 1-16 (1983) · Zbl 0501.90071 [4] De Vylder, F.; Goovaerts, M., Analytical best upper bounds for stop-loss premiums, Insurance Math. Econom., 1, 3, 197-211 (1982) · Zbl 0508.62088 [5] Goovaerts, M.; Haezendonck, J.; De Vylder, F., Numerical best bounds on stop-loss premiums, Insurance Math. Econom., 1, 4, 287-302 (1982) · Zbl 0498.62089 [6] Haezendonck J., De Vylder F. and Delbean F. (subm.). Representation theorems for extremal distributions. Submitted for publication.; Haezendonck J., De Vylder F. and Delbean F. (subm.). Representation theorems for extremal distributions. Submitted for publication. · Zbl 0546.60018 [7] Ioffe, A. D.; Tihomirov, V. M., Theory of Extremal Problems (1979), North-Holland: North-Holland Amsterdam · Zbl 0407.90051 [8] Taylor, G. C., Upper bounds on stop-loss premiums under constraints on claim size distribution, Scand. Actuarial J., 1977, 94-105 (1977) · Zbl 0369.62111 This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. In some cases that data have been complemented/enhanced by data from zbMATH Open. This attempts to reflect the references listed in the original paper as accurately as possible without claiming completeness or a perfect matching.