On the evaluation of ‘ saving-consumption ’ plans

@inproceedings{Vanduffel2004OnTE,
  title={On the evaluation of ‘ saving-consumption ’ plans},
  author={Steven Vanduffel and Jan Dhaene and Marc J. Goovaerts},
  year={2004}
}
Knowledge of the distribution function of the stochastically compounded value of a series of future (positive and/or negative) payments is needed for solving several problems in an insurance or finance environment, see e.g. Dhaene et al. (2002 a,b). In Kaas et al. (2000), convex lower bound approximations for such a sum have been proposed. In case of changing signs of the payments however, the distribution function or the quantiles of the lower bound are not easy to determine, as the… CONTINUE READING
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