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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
Volume186
Year2006
Pages23-42
ISSN03770427
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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