- Bounds for right tails of deterministic and stochastic sums of random variables
- The Journal of Risk and Insurance
- Volume | Issue number
- 76 | 4
- Pages (from-to)
- Number of pages
- Document type
- Faculty of Economics and Business (FEB)
- Amsterdam School of Economics Research Institute (ASE-RI)
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.
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