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Optimal Ruin Calculations Using Partial Stochastic Information
Optimal Ruin Calculations Using Partial Stochastic Information Discussion of how to obtain tight upper and lower bounds on E[hX] for a given function h, and a random variable X with three known ...- Authors: Samuel Cox, Patrick L Brockett
- Date: Oct 1984
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Transactions of the SOA
- Topics: Modeling & Statistical Methods>Stochastic models