Upper and lower bounds for sums of random variables

DOI10.1016/S0167-6687(00)00060-3zbMath0989.60019OpenAlexW3123906865MaRDI QIDQ5942774

Marc J. Goovaerts, Rob Kaas, Jan Dhaene

Publication date: 3 December 2001

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6687(00)00060-3

zbMATH Keywords

actuarial stop-lossstochastic ordering and inequalities

Mathematics Subject Classification ID

Related Items (85)

Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions ⋮ Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables ⋮ Risk bounds for factor models ⋮ DOLLAR COST AVERAGING RETURNS ESTIMATION ⋮ How retention levels influence the variability of the total risk under reinsurance ⋮ Pricing and hedging Asian basket spread options ⋮ RISK MARGIN QUANTILE FUNCTION VIA PARAMETRIC AND NON-PARAMETRIC BAYESIAN APPROACHES ⋮ The consistency of least-square regularized regression with negative association sequence ⋮ Convex bound approximations for sums of random variables under multivariate log-generalized hyperbolic distribution and asymptotic equivalences ⋮ Model-independent price bounds for catastrophic mortality bonds ⋮ Comonotonic bounds on the survival probabilities in the Lee--Carter model for mortality projection ⋮ A provisioning problem with stochastic payments ⋮ The concept of comonotonicity in actuarial science and finance: theory. ⋮ Bounds for present value functions with stochastic interest rates and stochastic volatility. ⋮ Comparisons on aggregate risks from two sets of heterogeneous portfolios ⋮ Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables ⋮ On allocation of upper limits and deductibles with dependent frequencies and comonotonic severities ⋮ Probabilistic solutions for a class of deterministic optimal allocation problems ⋮ Optimal allocation of policy limits in layer reinsurance treaties ⋮ Quantile approximations in auto-regressive portfolio models ⋮ High dimensional Bernoulli distributions: algebraic representation and applications ⋮ Bounds for some general sums of random variables ⋮ Comonotonic approximations for a generalized provisioning problem with application to optimal portfolio selection ⋮ Does positive dependence between individual risks increase stop-loss premiums? ⋮ The concept of comonotonicity in actuarial science and finance: applications. ⋮ A comonotonic approximation to optimal terminal wealth under a multivariate Merton model with correlated jump risk ⋮ Dependence modelling in insurance via copulas with skewed generalised hyperbolic marginals ⋮ Tail variance premiums for log-elliptical distributions ⋮ Confidence bounds for discounted loss reserves. ⋮ The hurdle-race problem. ⋮ Aggregating Risks with Partial Dependence Information ⋮ Market value margin calculations under the cost of capital approach within a Bayesian chain ladder framework ⋮ The pricing of Asian options in uncertain volatility model ⋮ Closed-form approximations for diffusion densities: A path integral approach. ⋮ Worst case risk measurement: back to the future? ⋮ Pricing of arithmetic basket options by conditioning. ⋮ Stochastic orders of scalar products with applications ⋮ Static super-replicating strategies for a class of exotic options ⋮ Analytic bounds and approximations for annuities and Asian options ⋮ Bounds for Asian basket options ⋮ Optimal portfolio selection for general provisioning and terminal wealth problems ⋮ Worst allocations of policy limits and deductibles ⋮ Prices and sensitivities of Asian options: A survey ⋮ Quantifying the error of convex order bounds for truncated first moments ⋮ Risk management of a bond portfolio using options ⋮ Optimal allocation of policy limits and deductibles ⋮ Comparing Approximations for Risk Measures of Sums of Nonindependent Lognormal Random Variables ⋮ Comonotonicity and low volatility effect ⋮ Optimal approximations for risk measures of sums of lognormals based on conditional expectations ⋮ Stable Laws and the Present Value of Fixed Cash Flows ⋮ “Risk and Discounted Loss Reserves,” Greg Taylor, January 2004 ⋮ Pricing American Asian options with higher moments in the underlying distribution ⋮ Comonotonic approximation to periodic investment problems under stochastic drift ⋮ Moment matching approximation of Asian basket option prices ⋮ Approximation of stop-loss premiums involving sums of lognormals by conditioning on two variables ⋮ On the distribution of discounted loss reserves using generalized linear models ⋮ Risk aggregation with dependence uncertainty ⋮ Simulating from Exchangeable Archimedean Copulas ⋮ Characterizations of Conditional Comonotonicity ⋮ An application of comonotonicity theory in a stochastic life annuity framework ⋮ Stochastic modelling of herd behaviour indices ⋮ Some limiting properties of the bounds of the present value function of a life insurance portfolio ⋮ Comonotonic asset prices in arbitrage-free markets ⋮ Optimal portfolio problem with unknown dependency structure ⋮ Improved convex upper bound via conditional comonotonicity ⋮ Comonotonic approximations to quantiles of life annuity conditional expected present value ⋮ Some results on the CTE-based capital allocation rule ⋮ Quantifying the risk using copulae with nonparametric marginals ⋮ A framework for robust measurement of implied correlation ⋮ Annuity contract valuation under dependent risks ⋮ Worst VaR scenarios: A remark ⋮ Bounds and approximations for sums of dependent log-elliptical random variables ⋮ Some problems in actuarial finance involving sums of dependent risks ⋮ American-type basket option pricing: a simple two-dimensional partial differential equation ⋮ Variability comparisons for some mixture models with stochastic environments in biosciences and engineering ⋮ The multivariate Variance Gamma model: basket option pricing and calibration ⋮ Bounds for the price of a European-style Asian option in a binary tree model ⋮ Bounds for the price of discrete arithmetic Asian options ⋮ Two approximations of the present value distribution of a disability annuity ⋮ Risk Measures and Comonotonicity: A Review ⋮ Comonotonicity, orthant convex order and sums of random variables ⋮ Lower convex order bound approximations for sums of log-skew normal random variables ⋮ Some asymptotic results for sums of dependent random variables, with actuarial applications ⋮ Approximations for life annuity contracts in a stochastic financial environment ⋮ Static-arbitrage optimal subreplicating strategies for basket options

Cites Work

• Unnamed Item
• Ordering risks: expected utility theory versus Yaari's dual theory of risk
• Comonotonicity, correlation order and premium principles
• Extremal generators and extremal distributions for the continuous \(s\)-convex stochastic orderings
• How to (and how not to) compute stop-loss premiums in practice
• On the dependency of risks in the individual life model
• Stop-loss order for portfolios of dependent risks
• An easy computable upper bound for the price of an arithmetic Asian option
• Optimal reinsurance in relation to ordering of risks
• On the distribution of IBNR reserves
• The safest dependence structure among risks.
• Convex upper and lower bounds for present value functions
• Modeling and Comparing Dependencies in Multivariate Risk Portfolios
• The value of an Asian option

This page was built for publication: Upper and lower bounds for sums of random variables