Some limiting Properties on the Bounds of Present Value Functions of a Life Insurance Portfolio
نویسندگان
چکیده
Under certain assumptions on the dependence structure of the residual lives of the insureds (independent, positively/negatively associated), 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 homogenous portfolio composed of the whole-life insurance policies. Keyword: Convex order, comonotonicity, present value function, Black and Scholes model, laws of large numbers.
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