Hostname: page-component-cd9895bd7-jkksz Total loading time: 0 Render date: 2024-12-23T15:22:32.484Z Has data issue: false hasContentIssue false
  • English
  • Français

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

Published online by Cambridge University Press:  29 August 2014

F. De Vylder
Rights & Permissions [Opens in a new window]

Extract

Core share and HTML view are not available for this content. However, as you have access to this content, a full PDF is available via the ‘Save PDF’ action button.

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