Title: Stable laws and the distribution of cash-flows
Authors: Goovaerts, Marc
De Schepper, A
Vyncke, David
Dhaene, Jan
Kaas, Robert
Issue Date: 2001
Publisher: K.U.Leuven - Departement Toegepaste Economische Wetenschappen
Series Title: DTEW Research Report 0141 pages:1-16
Abstract: In the present contribution, we consider the present value of a series of cash flows under stochastic interest rates and we make use of stable laws to model these interest rates. Just as in some previous papers, we will not try to calculate the exact analytical distribution for the cash-flow, but instead we determine convex upper bounds with an easier structure, and we derive results from the stop-loss premium and distribution of these bounds.
Publication status: published
KU Leuven publication type: IR
Appears in Collections:Research Center Insurance, Leuven

Files in This Item:
File Status SizeFormat
OR_0141.pdf Published 495KbAdobe PDFView/Open


All items in Lirias are protected by copyright, with all rights reserved.