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Upper stop-loss bounds for sums of possibly dependent risks with given means and variances

✍ Scribed by Christian Genest; Étienne Marceau; Mhamed Mesfioui


Publisher
Elsevier Science
Year
2002
Tongue
English
Weight
234 KB
Volume
57
Category
Article
ISSN
0167-7152

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083010 (M10, M12) Stop-loss bounds for d
📂 Article 📅 1997 🏛 Elsevier Science 🌐 English ⚖ 89 KB

A structure of financial loss on probability space is considered. The financial loss is represented as difference between loss and gain. In this general mathematical framework, the inequality of Bowers (1969) on the mean loss, as well as inequalities by Kremer (1990), H0rlimann (1993 a/b) on the los