Moment Bounds on Discrete Expected Stop-Loss Transforms, with Applications
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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.
KeywordsIncreasing convex order Stop-loss transform Insurance
AMS 2000 Subject Classification60E15 60E10 91B30
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