Upper and lower bounds for sums of random variables

被引：120

作者：

Kaas, R

Dhaene, J

Goovaerts, MJ

机构：

[1] Univ Amsterdam, Inst Actuarial Sci, NL-1018 WB Amsterdam, Netherlands

[2] Katholieke Univ Leuven, CRIR, Louvain, Belgium

来源：

INSURANCE MATHEMATICS & ECONOMICS | 2000年 / 27卷 / 02期

关键词：

dependent risks; comonotonicity; convex order; cash-flows; present values; stochastic annuities;

D O I：

10.1016/S0167-6687(00)00060-3

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this contribution, the upper bounds for sums of dependent random variables X-1 + X-2 + ... + X-n derived by using comonotonicity are sharpened for the case when there exists a random variable Z such that the distribution functions of the X-i, given Z = z, are known. By a similar technique, lower bounds are derived. A numerical application for the case of lognormal random variables is given. (C) 2000 Elsevier Science B.V. All rights reserved.

引用

页码：151 / 168

页数：18

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