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Some limiting properties of the bounds of the present value function of a life insurance portfolio
Published online by Cambridge University Press: 14 July 2016
Abstract
Under certain assumptions on the dependence structure of the residual lives of the insured (i.e. their independence, positive association, or negative association), in this paper we establish some laws of large numbers for the convex upper bounds, derived by the technique of comonotonicity, of the present value function of a homogeneous portfolio composed of the whole-life insurance policies.
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- © Applied Probability Trust 2006
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