Bounds for right tails of deterministic and stochastic sums of random variables

We investigate lower and upper bounds for right tails (stop-loss premiums) of deterministic and stochastic sums of nonindependent random variables. The bounds are derived using the concepts of comonotonicity, convex order, and conditioning. The performance of the presented approximations is investig...

Ausführliche Beschreibung

Gespeichert in:

Bibliographische Detailangaben
Veröffentlicht in:	The journal of risk and insurance
Weitere Verfasser:	Darkiewicz, Grzegorz (BerichterstatterIn), Deelstra, Griselda (BerichterstatterIn), Dhaene, Jan (BerichterstatterIn), Hoedemakers, Tom (BerichterstatterIn), Vanmaele, Michèle (BerichterstatterIn)
Format:	UnknownFormat
Sprache:	eng
Veröffentlicht:	2009
Schlagworte:	Risikomodell > Aufsatz in Zeitschrift
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!

Bestellen

Nach Artikeln suchen

Beschreibung
Zusammenfassung:	We investigate lower and upper bounds for right tails (stop-loss premiums) of deterministic and stochastic sums of nonindependent random variables. The bounds are derived using the concepts of comonotonicity, convex order, and conditioning. The performance of the presented approximations is investigated numerically for individual life annuity contracts as well as for life annuity portfolios, where mortality is modeled by Makeham's law, whereas investment returns are modeled by a Brownian motion process.
ISSN:	0022-4367