Bounds for right tails of deterministic and stochastic sums of random variables

Grzegorz Darkiewicz; Griselda Deelstra; Jan Dhaene; Tom Hoedemakers; Michèle Vanmaele

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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Year of publication:	2009
Authors:	Darkiewicz, Grzegorz ; Deelstra, Griselda ; Dhaene, Jan ; Hoedemakers, Tom ; Vanmaele, Michèle
Published in:	The journal of risk and insurance : the journal of the American Risk and Insurance Association. - Malden, Mass. [u.a] : Blackwell, ISSN 0022-4367, ZDB-ID 410673-8. - Vol. 76.2009, 4, p. 847-866
Subject:	Risikomodell \| Risk model

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10003916505