New bounds for the probability that at least k-out-of-n events occur with unimodal distributions

作者：Subasi Munevver M; Subasi Ersoy^*; Binmahfoudh Ahmed; Prekopa Andras

来源：Discrete Applied Mathematics, 2017, 226: 138-157.

DOI：10.1016/j.dam.2017.03.011

• Probability bounding
• Binomial moment problem
• Dual simplex method
• European call option price

The contribution of the shape information of the underlying distribution in probability bounding problem is investigated and a linear programming based bounding methodology to obtain robust and efficiently computable bounds for the probability that at least k-out-of-n events occur is developed. The dual feasible basis structures of the relaxed versions of linear programs involved are fully described. The bounds for the probability that at least k-out-of-n events occur are obtained in the form of formulas and as the customized algorithmic solutions of the LP's formulated. An application in finance is presented.

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  rutgers