Analytical best upper bounds on stop-loss premiums

We provide a list of best upper bounds on the stop-loss premium E(X?t)₊ corresponding to the risk X and the retention limit t. Various information (moments, unimodality, symmetry,…) on the distribution F of X is taken into account.     

Best bounds on the stop loss premium in case of known range,expectation, variance and mode of the risk

The following problems are solved analytically in this note. Find the maximum and the minimum of the stop-loss premium E(R ? t)₊ corresponding to the risk R and retention limit t when R has a unimodal distribution with known range, mode, expectation and variance. Find the distribution leading to this maximum and minimum.     

Maximization of the variance of a stop-loss reinsured risk

We solve the following problems: Find the maximum variance of a stop-loss reinsured risk (R?t)₊ when only the range of the risk R and its two first moments are known. Find the distribution of R leading to that maximum variance.The solution is complete for all practical values of the involved parameters.     

Bounds on compound distributions and stop-loss premiums

In the actuarial literature a lot of attention is given to the approximation of aggregate claims distributions by compound Poisson and Polya distributions and their subsequent numerical evaluation. The present contribution derives bounds for the tail of compound distributions and stop-loss premiums. The bounds are obtained in an elementary manner based on a version of the Chebyshev inequality. The main point of this contribution consists in deriving bounds with explicit dependence on the distribution function itself as well as on some partial moments of it.     

Practical aspects of stop-loss calculations

This paper examines various methods of ‘arithmetizing’ the claim size distribution so that stop-loss premiums can be recursively calculated. Claim frequencies are assumed to be Poisson. A decision strategy for choosing a method when both error and computer costs are constrained is developed.     

Error bounds for the compound poisson approximation

Explicit error bounds in terms of probabilities and stop-loss premiums are given for two kinds of compound Poisson approximations: the first concerns the difference between the individual and the collective model; the second is about the difference of the compound negative binomial and the compound Poisson distribution.     

On the numerical evaluation of the distribution of aggregate claims and its stop-loss premiums

The paper develops a method for the numerical evaluation of the distribution of aggregate claims and its stop-loss premiums.     

Sharp probability bounds for the binomial moment problem with symmetry

Sharp bounds in terms of the first few binomial moments are found for the probability of a union of events, when the random variable denoting the number of events that occur follows symmetric distribution. Connection between the bounds of this paper and the bounds from a special case of the binomial moment problem of Prekopa (1995) is shown. As a special case, bounds for the probability when the underlying probability distribution is unimodal-symmetric are also found.     

Comonotonic bounds on the survival probabilities in the Lee–Carter model for mortality projection

In the Lee–Carter framework, future survival probabilities are random variables with an intricate distribution function. In large homogeneous portfolios of life annuities, value-at-risk or conditional tail expectation of the total yearly payout of the company are approximately equal to the corresponding quantities involving random survival probabilities. This paper aims to derive some bounds in the increasing convex (or stop-loss) sense on these random survival probabilities. These bounds are obtained with the help of comonotonic upper and lower bounds on sums of correlated random variables.     

Tail bounds for the distribution of the deficit in the renewal risk model

We obtain upper and lower bounds for the tail of the deficit at ruin in the renewal risk model, which are (i) applicable generally; and (ii) based on reliability classifications. We also derive two-side bounds, in the general case where a function satisfies a defective renewal equation, and we apply them to the renewal model, using the function Λ_u introduced by [Psarrakos, G., Politis, K., 2007. A generalisation of the Lundberg condition in the Sparre Andersen model and some applications (submitted for publication)]. Finally, we construct an upper bound for the integrated function and an asymptotic result when the adjustment coefficient exists.     

The effect of redundancy on probability bounds

Lower bounds on the probability of a union obtained by applying optimal bounds to subsets of events can provide excellent bounds. Comparisons are made with bounds obtained by linear programming and in the cases considered, the best bound is obtained with a subset that contains no redundant events contributing to the union. It is shown that redundant events may increase or decrease the value of a lower bound but surprisingly even removal of a non-redundant event can increase the bound.     

New upper bounds on linear coloring of planar graphs

A proper vertex coloring of a graph G is linear if the graph induced by the vertices of any two color classes is the union of vertex-disjoint paths. The linear chromatic number lc(G) of the graph G is the smallest number of colors in a linear coloring of G. In this paper, it is proved that every planar graph G with girth g and maximum degree Δ has(1)lc(G) ≤Δ 21 if Δ≥ 9; (2)lc(G) ≤「Δ/2」 + 7 ifg ≥ 5; (3) lc(G) ≤「Δ/2」 + 2 ifg ≥ 7 and Δ≥ 7.     

Some bounds on the coupon collector problem

This work addresses on the coupon collector problem and its generalization introduced by Flajolet, Gardy, and Thimonier. In our main results, we show a ratio limit theorem for the random time of the generalized coupon collector problem, and, further, we give the leading term and the geometric rate for the distribution of this random time, when the number of throws is large. For the classical coupon collector problem, we give a bound on the conditional second moment for the number of visits to the coupons, relying strongly on a result of Holst on extremal distributions. © 2004 Wiley Periodicals, Inc. Random Struct. Alg. 2004     

Upper bounds on the linear chromatic number of a graph

A proper vertex coloring of a graph G is linear if the graph induced by the vertices of any two color classes is a union of vertex-disjoint paths. The linear chromatic number of G is the smallest number of colors in a linear coloring of G.Let G be a graph with maximum degree Δ(G). In this paper we prove the following results: (1) ; (2) if Δ(G)≤4; (3) if Δ(G)≤5; (4) if G is planar and Δ(G)≥52.     

线性调控分枝过程的渐近增长

本文讨论了线性调控分枝过程的增殖速度和极限分布.由于GaltonWatson过程是它的特殊情况,故本文推广了[4]、[5]中的有关结果.     

Lower bounds on the minimum average distance of binary codes

Let β(n,M) denote the minimum average Hamming distance of a binary code of length n and cardinality M. In this paper we consider lower bounds on β(n,M). All the known lower bounds on β(n,M) are useful when M is at least of size about 2ⁿ⁻¹/n. We derive new lower bounds which give good estimations when size of M is about n. These bounds are obtained using a linear programming approach. In particular, it is proved that lim_n→∞β(n,2n)=5/2. We also give a new recursive inequality for β(n,M).     

Computing sharp bounds for hard clustering problems on trees

Clustering problems with relational constraints in which the underlying graph is a tree arise in a variety of applications: hierarchical data base paging, communication and distribution networks, districting, biological taxonomy, and others. They are formulated here as optimal tree partitioning problems. In a previous paper, it was shown that their computational complexity strongly depends on the nature of the objective function and, in particular, that minimizing the total within-cluster dissimilarity or the diameter is computationally hard. We propose heuristics that find good partitions within a reasonable time, even for instances of relatively large size. Such heuristics are based on the solution of continuous relaxations of certain integer (or almost integer) linear programs. Experimental results on over 2000 randomly generated instances with up to 500 entities show that the values (total within-cluster dissimilarity or diameter) of the solutions provided by these heuristics are quite close to the minimum one.     

Johnson type bounds on constant dimension codes

Very recently, an operator channel was defined by Koetter and Kschischang when they studied random network coding. They also introduced constant dimension codes and demonstrated that these codes can be employed to correct errors and/or erasures over the operator channel. Constant dimension codes are equivalent to the so-called linear authentication codes introduced by Wang, Xing and Safavi-Naini when constructing distributed authentication systems in 2003. In this paper, we study constant dimension codes. It is shown that Steiner structures are optimal constant dimension codes achieving the Wang-Xing-Safavi-Naini bound. Furthermore, we show that constant dimension codes achieve the Wang-Xing-Safavi-Naini bound if and only if they are certain Steiner structures. Then, we derive two Johnson type upper bounds, say I and II, on constant dimension codes. The Johnson type bound II slightly improves on the Wang-Xing-Safavi-Naini bound. Finally, we point out that a family of known Steiner structures is actually a family of optimal constant dimension codes achieving both the Johnson type bounds I and II.      

On specific stability bounds for linear multiresolution schemes based on piecewise polynomial Lagrange interpolation

The Deslauriers-Dubuc symmetric interpolation process can be considered as an interpolatory prediction scheme within Harten's framework. In this paper we express the Deslauriers-Dubuc prediction operator as a combination of either second order or first order differences. Through a detailed analysis of certain contractivity properties, we arrive to specific l_∞-stability bounds for the multiresolution transform. A variety of tests indicate that these l_∞ bounds are closer to numerical estimates than those obtained with other approaches.