Moment Bounds on Discrete Expected Stop-Loss Transforms, with Applications

Cindy Courtois () and Michel Denuit
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Cindy Courtois: Université catholique de Louvain
Michel Denuit: Université catholique de Louvain

Methodology and Computing in Applied Probability, 2009, vol. 11, issue 3, 307-338

Abstract: 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.

Keywords: Increasing convex order; Stop-loss transform; Insurance; 60E15; 60E10; 91B30 (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (4)

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DOI: 10.1007/s11009-007-9048-0

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