Computation of convex bounds for present value functions with random payments
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Publication:2571217
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
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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
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- On the distribution of discounted loss reserves using generalized linear models
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