Bounds for Actuarial Present Values Under the Fractional Independence Assumption

DOI10.1080/10920277.1999.10595827zbMath1082.62537OpenAlexW2089704059MaRDI QIDQ5718378

Werner Hürlimann

Publication date: 13 January 2006

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.1999.10595827

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (3)

Comparison and bounds for functionals of future lifetimes consistent with life tables ⋮ Comparison Between Future Lifetime Distribution and Its Approximations ⋮ Analytical Bounds for two Value-at-Risk Functionals

Cites Work

• On life table applications of ordering among risks
• Ordering of risks in life insurance
• Best bounds for expected financial payoffs. I: Algorithmic evaluation
• Best bounds for expected financial payoffs. II: Applications
• Statistical Independence and Fractional Age Assumptions
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