An Illustration of the Duality Technique in Semi-Continuous Linear Programming*

F. De Vylder

ASTIN Bulletin, 1980, vol. 11, issue 1, 17-28

Abstract: We gıve a complete parametrıc solutıon of the followıng problem: Fınd a claım sıze dıstrıbutıon F on the fınıte ınterval [ο, ω], maxımizıng the stop-loss premıum correspondıng to a gıven excess e, under the constraınts that the fırst moment of F be at most equal to μ and the second at most equal to ν The method used ıs the dualıty technıque ın semı-contınuous lınear programmıng descrıbed in De Vylder (1978) Thıs technıque ıs summarızed, wıthout proofs, ın the fırst part of the paper.

Date: 1980
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