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Some limiting properties of the bounds of the present value function of a life insurance portfolio

Part of: Applications Limit theorems Mathematical economics

Published online by Cambridge University Press:  14 July 2016

Yi Zhang ,
Zhengyan Lin  and
Chengguo Weng
Yi Zhang*
Affiliation:
Zhejiang University
Zhengyan Lin*
Affiliation:
Zhejiang University
Chengguo Weng*
Affiliation:
University of Waterloo
*
∗Postal address: Department of Mathematics, Zhejiang University, Hangzhou, 310027, P. R. China.
∗Postal address: Department of Mathematics, Zhejiang University, Hangzhou, 310027, P. R. China.
∗∗∗∗Postal address: Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, Ontario N2L 3G1, Canada. Email address: wengcg@hotmail.com
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Abstract

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Under certain assumptions on the dependence structure of the residual lives of the insured (i.e. their independence, positive association, or negative association), in this paper we establish some laws of large numbers for the convex upper bounds, derived by the technique of comonotonicity, of the present value function of a homogeneous portfolio composed of the whole-life insurance policies.

Keywords

Convex ordercomonotonicitypresent value functionBlack-Scholes modellaw of large numbers

MSC classification

Primary: 62P05: Applications to actuarial sciences and financial mathematics
Secondary: 91B30: Risk theory, insurance 60F15: Strong theorems
Type
Research Papers
Information
Journal of Applied Probability , Volume 43 , Issue 4 , December 2006 , pp. 1155 - 1164
Copyright
© Applied Probability Trust 2006 

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