Some limiting properties of the bounds of the present value function of a life insurance portfolio. (English) Zbl 1130.62106
Summary: Under certain assumptions on the dependence structure of the residual lives of the insured (i.e., their independence, positive association, or negative association), 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.
MSC:
| 62P05 | Applications of statistics to actuarial sciences and financial mathematics |
| 91B30 | Risk theory, insurance (MSC2010) |
| 60F15 | Strong limit theorems |
| 60E15 | Inequalities; stochastic orderings |
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