Methodology and Computing in Applied Probability

, Volume 11, Issue 3, pp 307–338 | Cite as

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

  • Cindy Courtois
  • Michel Denuit


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.


Increasing convex order Stop-loss transform Insurance 

AMS 2000 Subject Classification

60E15 60E10 91B30 


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Copyright information

© Springer Science+Business Media, LLC 2007

Authors and Affiliations

  1. 1.Institut des Sciences ActuariellesUniversité catholique de LouvainLouvain-la-NeuveBelgium
  2. 2.Institut de StatistiqueUniversité catholique de LouvainLouvain-la-NeuveBelgium

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