| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5076910 | Insurance: Mathematics and Economics | 2012 | 8 Pages |
Abstract
⺠Correction and clarification of reasoning of Van Weert et al. (2010). ⺠The terminal wealth or the initial provision problem with cash flows of mixed signs. ⺠Derivation of the convex order lower bound approximation. ⺠Compute probability levels for which quantiles of the approximation can be obtained. ⺠Inversion of time axis transforms the provisioning problem into the terminal wealth problem.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Jan Dhaene, Marc Goovaerts, Michèle Vanmaele, Koen Van Weert,