Title: Stochastic approximations of present value functions
Authors: Cossette, H
Denuit, M
Dhaene, Jan
Marceau, E
Issue Date: 2000
Publisher: K.U.Leuven - Departement Toegepaste Economische Wetenschappen
Series Title: DTEW Research Report 0001 pages:1-16
Abstract: The aim of the paper is to apply the method proposed by Denuit, Genest and Marceau (1999) for deriving stochastic upper and lower bounds on the present value of a sequence of cash flows, where the discounting is performed under a given stochastic return process. The convex approximation provided by Goovaerts, Dhaene and De Schepper (1999) and Goovaerts and Dhaene (1999) is then compared to these stochastic bounds. On the basis of several numerical examples, it will be seen that the convex approximation seems reasonable.
Publication status: published
KU Leuven publication type: IR
Appears in Collections:Research Center Insurance, Leuven

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