Wong, Man Hong; Zhang, Shuzhong - In: Insurance: Mathematics and Economics 52 (2013) 2, pp. 204-212
Extreme events occur rarely, but these are often the circumstances where an insurance coverage is demanded. Given the first, say, n moments of the risk(s) of the events, one is able to compute or approximate the tight bounds for risk measures in the form of E(ψ(x)) through semidefinite...