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| Authors | A. Ahcan, G. Darkiewicz, M.J. Goovaerts, T. Hoedemakers | | Title | Computation of covex bounds for present value functions with random payments |
| Journal | Journal of Computational and Applied Mathematics |
| Volume | 186 |
| Year | 2006 |
| Pages | 23-42 |
| ISSN | 03770427 |
| Faculty | Faculty of Economics and Business |
| Institute/dept. | FEB: Research Institute in Economics and Econometrics Amsterdam (RESAM) |
| Abstract | In 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 type | Article |
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