Computation of convex bounds for present value functions with random payments

DOI10.1016/J.CAM.2005.03.063zbMath1119.91039OpenAlexW2111979814MaRDI QIDQ2571217

Tom Hoedemakers, Aleš Ahčan, Grzegorz Darkiewicz, 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

Related Items (2)

Some limiting properties of the bounds of the present value function of a life insurance portfolio ⋮ Default probabilities of a holding company, with complete and partial information

Cites Work

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• The Pricing of Options and Corporate Liabilities
• The concept of comonotonicity in actuarial science and finance: theory.
• The concept of comonotonicity in actuarial science and finance: applications.
• Confidence bounds for discounted loss reserves.
• The Dual Theory of Choice under Risk
• On the distribution of discounted loss reserves using generalized linear models

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