Title: Convex upper and lower bounds for present value functions
Authors: Vyncke, David
Goovaerts, Marc
Dhaene, Jan
Issue Date: 2000
Publisher: K.U.Leuven - Departement Toegepaste Economische Wetenschappen
Series Title: DTEW Research Report 0025
Abstract: In this paper we present an efficient methodology for approximating the distribution function of the net present value of a series of cash-flows, when the discounting is presented by a stochastic differential equation as in the Vasicek model and in the Ho-Lee model. Upper and lower bounds in convexity order are obtained. The high accuracy of the method is illustrated for cash-flows for which no analytical results are available.
Publication status: published
KU Leuven publication type: IR
Appears in Collections:Research Center Insurance, Leuven

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