Convex order approximations in the case of cash flows of mixed signs

DOI10.1016/J.INSMATHECO.2012.04.003zbMath1284.91517OpenAlexW2097285612MaRDI QIDQ2445338

Jan Dhaene, Michèle Vanmaele, Koen van Weert, Marc J. Goovaerts

Publication date: 14 April 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1854/LU-3095045

zbMATH Keywords

comonotonicityprovisioningterminal wealthcash flows of mixed signsconvex order approximations

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (3)

A stochastic order for the analysis of investments affected by the time value of money ⋮ Convex ordering for insurance preferences ⋮ Loan transactions with random dates for the first and last periodic instalments

Cites Work

• Optimal portfolio selection for general provisioning and terminal wealth problems
• The concept of comonotonicity in actuarial science and finance: theory.
• The concept of comonotonicity in actuarial science and finance: applications.

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