Courtois, Cindy; Denuit, Michel - In: Insurance: Mathematics and Economics 42 (2008) 1, pp. 95-100
Extremal distributions have been extensively used in the actuarial literature in order to derive bounds on functionals of the underlying risks, such as stop-loss premiums or ruin probabilities, for instance. In this paper, the idea is extended to a dynamic setting. Specifically, convex bounds on...