IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this article

Upper and Lower Bounds of Present Value Distributions of Life Insurance Contracts with Disability Related Benefi ts

Listed author(s):
  • J. Spreeuw

The distribution function of the present value of a cash fl ow can be approximated by means of a distribution function of a random variable, which is also the present value of a sequence of payments, but has a simpler structure. The corresponding random variable has the same expectation as the random variable corresponding to the original distribution function and is a stochastic upper bound of convex order. A sharper upper bound and a nontrivial lower bound can be obtained if more information about the risk is available. In this paper, it will be shown that such an approach can be adopted for some life insurance contracts under Markov assumptions, with disability related benefi ts. The quality of the approximation will be investigated by comparing the distribution obtained with the one derived from the algorithm presented in the paper by Hesselager and Norberg (1996).

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL:
Download Restriction: no

Article provided by KU Leuven, Faculty of Economics and Business, Review of Business and Economic Literature in its journal Review of Business and Economic Literature.

Volume (Year): L (2005)
Issue (Month): 1 ()
Pages: 115-160

in new window

Handle: RePEc:ete:revbec:20050110
Contact details of provider: Postal:
Naamsestraat 69, 3000 Leuven

Web page:

More information through EDIRC

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:ete:revbec:20050110. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (library EBIB)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.