Title: Stochastic upper bounds for present value functions
Authors: Goovaerts, Marc
Dhaene, Jan
De Schepper, A
Issue Date: 1999
Publisher: K.U.Leuven - Departement Toegepaste Economische Wetenschappen
Series Title: DTEW Research Report 9914 pages:1-34
Abstract: In most practical cases, it is impossible to find an explicit expression for the distribution function of the present value of a sequence cash flows that are discounted using some given stochastic return process. In this paper, we present an easy computable approximation for this distribution function. The approximation is a distribution function which is, in the sense of convex order, an upper bound for the original distribution function.
Publication status: published
KU Leuven publication type: IR
Appears in Collections:Research Center Insurance, Leuven

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