Some limiting properties of the bounds of the present value function of a life insurance portfolio
From MaRDI portal
Publication:5441529
DOI10.1239/jap/1165505214zbMath1130.62106OpenAlexW2025671635MaRDI QIDQ5441529
Chengguo Weng, Zheng Yan Lin, Yi Zhang
Publication date: 15 February 2008
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/jap/1165505214
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Cites Work
- Unnamed Item
- Unnamed Item
- A note on the strong law of large numbers for positively dependent random variables
- Normal fluctuations and the FKG inequalities
- Comonotonicity, correlation order and premium principles
- The Hájek-Rényi inequality for the NA random variables and its application
- Supermodular ordering and stochastic annuities
- On the dependency of risks in the individual life model
- The concept of comonotonicity in actuarial science and finance: theory.
- Asymptotic normality of kernel estimates of a density function under association dependence
- The concept of comonotonicity in actuarial science and finance: applications.
- An easy computable upper bound for the price of an arithmetic Asian option
- On the distribution of IBNR reserves
- Computation of convex bounds for present value functions with random payments
- Convex upper and lower bounds for present value functions
- Payment Measures, Interest, and Discounting
- Stochastic analysis of a portfolio of endowment insurance policies
- Stochastic Analysis of the Interaction Between Investment and Insurance Risks
- Upper and lower bounds for sums of random variables
This page was built for publication: Some limiting properties of the bounds of the present value function of a life insurance portfolio
