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

DOI10.1016/J.INSMATHECO.2012.04.003MaRDI QIDQ2445338zbMATH OpenOpenAlexFDO

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

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

cash flows of mixed signscomonotonicityconvex order approximationsprovisioningterminal wealth

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

• Stochastic approximations of present value functions
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• Computation of convex bounds for present value functions with random payments
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• S -Convex Extrema, Taylor-Type Expansions and Stochastic Approximations

Cites work

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

Cited in

(4)

• A stochastic order for the analysis of investments affected by the time value of money
• Loan transactions with random dates for the first and last periodic instalments
• Comonotonic approximations for a generalized provisioning problem with application to optimal portfolio selection
• Convex ordering for insurance preferences

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