Computation of convex bounds for present value functions with random payments

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

卷:186

Article

Ahcan, A ; Darkiewicz, G ; Goovaerts, M ; Hoedemakers, T

关键词: convex order;    comonotonicity;    present value functions;    Black and Scholes model;   

DOI  :  10.1016/j.cam.2005.03.063

来源: Elsevier

【 摘 要 】

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. (c) 2005 Elsevier B.V. All rights reserved.

【 授权许可】

Free