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Supermodular ordering and stochastic annuities

Author:
Jan Dhaene; Marc J Goovaerts
Source:
General Insurance Convention & ASTIN Colloquium 1998
Publication date:
07 October 1998
File:
PDF 493.63 KB
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Document description

In this paper, we consider several types of stochastic annuities, for which an explicit expression for the distribution function is not available. We will construct a random variable with the same mean and which is larger in stop-loss order, for which the distribution function can be obtained easily.