Convex upper and lower bounds for present value functions
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Publication:2739981
DOI10.1002/asmb.437zbMath0971.91030OpenAlexW3125914417MaRDI QIDQ2739981
Marc J. Goovaerts, David Vyncke, Jan Dhaene
Publication date: 16 September 2001
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
Full work available at URL: https://lirias.kuleuven.be/handle/123456789/118652
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An application of comonotonicity and convex ordering to present values with truncated stochastic interest rates ⋮ The concept of comonotonicity in actuarial science and finance: theory. ⋮ Does positive dependence between individual risks increase stop-loss premiums? ⋮ The hurdle-race problem. ⋮ Stable Laws and the Present Value of Fixed Cash Flows ⋮ Upper and lower bounds for sums of random variables ⋮ Some limiting properties of the bounds of the present value function of a life insurance portfolio
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