Some limiting properties of the bounds of the present value function of a life insurance portfolio

DOI10.1239/jap/1165505214zbMath1130.62106OpenAlexW2025671635MaRDI QIDQ5441529

Chengguo Weng, Zheng Yan Lin, Yi Zhang

Publication date: 15 February 2008

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1165505214

zbMATH Keywords

Black-Scholes modelcomonotonicityconvex orderpresent value function

Mathematics Subject Classification ID

Cites Work

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