An application of comonotonicity and convex ordering to present values with truncated stochastic interest rates

DOI10.1016/J.INSMATHECO.2006.06.001zbMATH Open1183.91166OpenAlexW1979429507MaRDI QIDQ882461

Inge Koch, Ann De Schepper

Publication date: 23 May 2007

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2006.06.001

zbMATH Keywords

value-at-riskstochastic interest ratepresent valueconvex boundshull and white model

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• The concept of comonotonicity in actuarial science and finance: theory.
• The concept of comonotonicity in actuarial science and finance: applications.
• Convex upper and lower bounds for present value functions
• Risk Measures and Comonotonicity: A Review
• A recursive scheme for perpetuities with random positive interest rates. Part I. Analytical results
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities

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