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Inequalities with application in economic risk analysis

Published online by Cambridge University Press:  14 July 2016

Robert A. Agnew
Robert A. Agnew*
Affiliation:
Air Force Institute of Technology, Wright-Patterson Air Force Base, Ohio
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Abstract

Two sharp lower bounds for the expectation of a function of a non-negative random variable are obtained under rather weak hypotheses regarding the function, thus generalizing two sharp upper bounds obtained by Brook for the moment generating function. The application of these bounds to economic risk analysis is discussed.

Keywords

TCHEBYCHEV INEQUALITIESMETHOD OF MARKOVCONVEX FUNCTIONSECONOMIC RISK ANALYSISEXPECTED UTILITYMEAN VARIANCE LOWER BOUNDS

Information

Type
Short Communications
Information
Journal of Applied Probability , Volume 9 , Issue 2 , June 1972 , pp. 441 - 444
Copyright
Copyright © Applied Probability Trust 1972 

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