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...

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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)
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Sprache:eng
Veröffentlicht: 2009
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