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Duality theory for bounds on integrals with applications to stop-loss premiums. (English) Zbl 0522.62087


MSC:

62P05 Applications of statistics to actuarial sciences and financial mathematics
90C25 Convex programming
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References:

[1] Bühlmann H., Mitt. der Ver. Schw. Vers. Math 74 pp 284– (1974)
[2] Bowers N. L., Transactions of the Society of Actuaries 21 pp 211– (1969)
[3] De Groot R., Thesis nr 34., Faculteit Econ. en Toeg. Econ (1979)
[4] De Vylder F., Insurance Mathematics and Economics 2 (1982)
[5] De Vylder F., Mitt. der Ver. Schw. Verso Math (1982)
[6] De Vylder F., Insurance Mathematics and Economics 3 (1982)
[7] Ekeland I., Convex analysis and variational problems (1976) · Zbl 0322.90046
[8] Gabliardi B., Mitt. Ver. Schw. Math 74 pp 215– (1974)
[9] DOI: 10.1080/03461238.1980.10408649 · Zbl 0446.62107
[10] Goovaerts M., Insurance Mathematics and Economics 1 (4) (1982) · Zbl 0498.62089
[11] Heilman W. R., Blätter Deutschen Ges. Vers. Math pp 21– (1980)
[12] Ioffe A. D., Theory of extremal problems (1979) · Zbl 0407.90051
[13] DOI: 10.1080/03461238.1977.10405631 · Zbl 0369.62111
[14] Verbeek H., The ASTIN Bulletin 9 pp 247– (1977)
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