英文标题：
《Computing semiparametric bounds on the expected payments of insurance
instruments via column generation》
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作者：
Robert Howley and Robert Storer and Juan Vera and Luis F. Zuluaga
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最新提交年份：
2016
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英文摘要：
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 column generation, a classical optimization technique, to address these limitations. From column generation, it follows that practical univari- ate semiparametric bounds can be found by solving a series of linear programs. In addition to moment information, the column generation approach allows the inclusion of extra information about the random variable; for instance, unimodality and continuity, as well as the construction of corresponding worst/best-case distributions in a simple way.
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中文摘要：
最近的研究表明，金融或精算工具的预期收益的数值半参数界可以用半定规划来计算。然而，这种方法有实际的局限性。这里我们使用列生成（一种经典的优化技术）来解决这些限制。从列生成出发，可以通过求解一系列线性规划找到实用的单变量半参数界。除了力矩信息，列生成方法允许包含关于随机变量的额外信息；例如，单峰和连续性，以及以简单的方式构造相应的最坏/最佳情况分布。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Statistics 统计学
二级分类：Methodology 方法论
分类描述：Design, Surveys, Model Selection, Multiple Testing, Multivariate Methods, Signal and Image Processing, Time Series, Smoothing, Spatial Statistics, Survival Analysis, Nonparametric and Semiparametric Methods
设计，调查，模型选择，多重检验，多元方法，信号和图像处理，时间序列，平滑，空间统计，生存分析，非参数和半参数方法
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