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Record: oai:ARNO:227550

AuthorsA. Ahcan, G. Darkiewicz, M.J. Goovaerts, T. Hoedemakers
TitleComputation of covex bounds for present value functions with random payments
JournalJournal of Computational and Applied Mathematics
FacultyFaculty of Economics and Business
Institute/dept.FEB: Amsterdam School of Economics Research Institute (ASE-RI)
AbstractIn this contribution we study the distribution of the present value function of a series of random payments in a stochastic financial environment. Such distributions occur naturally in a wide range of applications within fields of insurance and finance. We obtain accurate approximations by developing upper and lower bounds in the convex-order sense for present value functions. Technically speaking, our methodology is an extension of the results of Dhaene et al. [Insur. Math. Econom. 31(1) (2002) 3-33, Insur. Math. Econom. 31(2) (2002) 133-161] to the case of scalar products of mutually independent random vectors.
Document typeArticle
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