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An Illustration of the Duality Technique in Semi-Continuous Linear Programming*

Published online by Cambridge University Press:  29 August 2014

F. De Vylder
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We gıve a complete parametrıc solutıon of the followıng problem: Fınd a claım sıze dıstrıbutıon F on the fınıte ınterval [ο, ω], maxımizıng the stop-loss premıum correspondıng to a gıven excess e, under the constraınts that the fırst moment of F be at most equal to μ and the second at most equal to ν The method used ıs the dualıty technıque ın semı-contınuous lınear programmıng descrıbed in De Vylder (1978) Thıs technıque ıs summarızed, wıthout proofs, ın the fırst part of the paper.

Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , Volume 11 , Issue 1 , June 1980 , pp. 17 - 28
Copyright
Copyright © International Actuarial Association 1980

Footnotes

*

Presented at the 14th ASTIN Colloquium, Taormina, October 1978.

References

MVSV = Mitteilungen der Vereinigung schweizerischer Versicherungsmathematiker.Google Scholar
Bühlmann, H. (1974). Ein andere Beweis für die Stop-Loss-Ungleichung in der Arbeit Gagliardi/Straub. MVSV, 74.Google Scholar
De Vylder, F. (1978). Semi-continuous linear programming. MVSV, 78.Google Scholar
Gagliardi, B. and Straub, E. (1974). Eine obere Grenze für Stop-Loss-Prämien. MVSV, 74.Google Scholar