Best bounds on the stop loss premium in case of known range,expectation, variance and mode of the risk |
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| Authors: | F de Vylder M Goovaerts |
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| Institution: | 315, Steenweg op Ninove, B 9470 Denderleeuw, Belgium;Dekenstreet 2, B 3000 Leuven, Belgium |
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| Abstract: | 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. |
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| Keywords: | Stop-loss Retention limit Unimodal distribution |
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