Robert Howley
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Computing semiparametric bounds on the expected payments of insurance instruments via column generation Open
It has been recently shown that numerical semiparametric bounds on the expected payoff of fi- nancial or actuarial instruments can be computed using semidefinite programming. However, this approach has practical limitations. Here we use co…
Computing semiparametric bounds on the expected payments of insurance\n instruments via column generation Open
It has been recently shown that numerical semiparametric bounds on the\nexpected payoff of fi- nancial or actuarial instruments can be computed using\nsemidefinite programming. However, this approach has practical limitations.\nHere we use…