Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J.A. - In: Insurance: Mathematics and Economics 49 (2011) 3, pp. 380-392

This paper studies the problem of finding best-possible upper bounds on a rich class of risk measures, expressible as integrals with respect to measures, under incomplete probabilistic information. Both univariate and multivariate risk measurement problems are considered. The extremal...