Title
Risk management under incomplete information: exact upper and lower bounds for the probability to reach extreme values Risk management under incomplete information: exact upper and lower bounds for the probability to reach extreme values
Author
Faculty/Department
Faculty of Applied Economics
Publication type
report
Publication
Antwerp :UA, [*]
Subject
Economics
Source (series)
Research paper / UA, Faculty of Applied Economics ; 2006:19
Volume/pages
13 p.,
Carrier
E
Target language
English (eng)
Affiliation
University of Antwerp
Abstract
A key problem in nancial and actuarial research, and particularly in the eld of risk management, is the choice of models so as to avoid systematic biases in the measurement of risk. An alternative consists of working with incomplete information, by xing only a number of parameters instead of a complete distribu- tion, which results in bounds instead of unique results. In the present contribution, we present upper and lower bounds for tail probabilities or probabilities to reach extreme values, in case the information about the underlying distribution is restricted to successive moments, and possibly the mode. Part of these results were already published earlier, but we present them here in a uniform and clear way, and we add results for the case of three moments.
Full text (open access)
https://repository.uantwerpen.be/docman/irua/f3306c/01e89501.pdf
Handle