Stochastic Upper Bounds for Present Value Functions

By Marc J. Goovaerts, Jan Dhaene, A. De Schepper. 2000

74 citations recorded by the source corpus.

Subfields: Demography, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/c8cd6463275afbcf20b0fba5b5bd4f73ec1df66c

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Citations in the corpus

Martingale Approach for Moments of Discounted Aggregate Claims (2004, background): “Goovaerts et al. (2000) also presented a computable approximation for the distribution function of the present value of a sequence of cash flows that are discounted using a stochastic return process.”
Comonotonic Approximations for Optimal Portfolio Selection Problems (2005, unknown): “i=0 αi e E[Zi]+ 1 2(1−r(2) i )σ(2) Zii σZi Φ (p), (19)”
Upper and lower bounds for sums of random variables (2000, unknown): “The problem of deriving a convex upper bound without using additional information about the dependency structure was considered in Müller (1997) and Goovaerts et al. (2000).”
The concept of comonotonicity in actuarial science and finance: theory (2002, unknown): “Indeed, for any retention d ∈ Summing over i, and taking into account the definition of α d , we find the expression derived in Dhaene, Wang, Young & Goovaerts (2000), where the random variables were assumed to be non-negative.”
Does positive dependence between individual risks increase stop-loss premiums? (2001, background): “Dhaene, Wang, Young and Goovaerts (2000), Goovaerts, Dhaene and De Schepper (2000) , Kaas, Dhaene and Goovaerts (2000), Simon, Goovaerts and Dhaene (2000), Vyncke, Goovaerts and Dhaene (2000) as well as the references therein.”
Dependence in Dempster-Shafer theory and probability bounds analysis* (2004, background): “Since the most dispersed distribution arising from the addition of two random variables occurs when their correlation is maximal (Müller 1997; Goovaerts et al. 2000), a conservative estimate of the extreme values of the distribution of the sum X+Y might be estimated with the quantity F (u) + G (u) w”
A Simple Geometric Proof that Comonotonic Risks Have the Convex-Largest Sum (2002, unknown): “Goovaerts et al. (2000) considers only continuous random variables.”
The Concept of Comonotonicity in Actuarial Science and Finance: Applications (2002, unknown): “(8) In this case, (φ(X), X − φ(X)) = (min {X, d} , (X − d)+) which is comonotonic.”