Computation of convex bounds for present value functions with random payments

DOI10.1016/J.CAM.2005.03.063MaRDI QIDQ2571217zbMATH OpenOpenAlexFDO

Authors Ales Ahcan, Grzegorz Darkiewicz, Tom Hoedemakers, Marc J. Goovaerts

Publication date 1 November 2005

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2005.03.063

zbMATH Keywords

Black-Scholes modelcomonotonicityconvex orderpresent value functions

Mathematics Subject Classification ID

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Cites work

• Confidence bounds for discounted loss reserves.
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• On the distribution of discounted loss reserves using generalized linear models
• The concept of comonotonicity in actuarial science and finance: applications.
• The concept of comonotonicity in actuarial science and finance: theory.
• The Dual Theory of Choice under Risk
• The pricing of options and corporate liabilities

Cited in

(10)

• Best bounds for expected financial payoffs. II: Applications
• Bounds for present value functions with stochastic interest rates and stochastic volatility.
• Convex order approximations in the case of cash flows of mixed signs
• Default probabilities of a holding company, with complete and partial information
• Convex upper and lower bounds for present value functions
• scientific article; zbMATH DE number 3850335 (Why is no real title available?)
• Stochastic approximations of present value functions
• scientific article; zbMATH DE number 5631027 (Why is no real title available?)
• Some limiting properties of the bounds of the present value function of a life insurance portfolio
• An application of comonotonicity and convex ordering to present values with truncated stochastic interest rates

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