Title of article
Upper and lower bounds for sums of random variables
Author/Authors
Kaas، نويسنده , , Rob and Dhaene، نويسنده , , Jan and Goovaerts، نويسنده , , Marc J.، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2000
Pages
18
From page
151
To page
168
Abstract
In this contribution, the upper bounds for sums of dependent random variables X1+X2+⋯+Xn derived by using comonotonicity are sharpened for the case when there exists a random variable Z such that the distribution functions of the Xi, 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.
Keywords
Dependent risks , Comonotonicity , Cash-flows , Convex order , Present values , Stochastic annuities
Journal title
Insurance Mathematics and Economics
Serial Year
2000
Journal title
Insurance Mathematics and Economics
Record number
1542320
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