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- W2089704059 abstract "Abstract We consider the fractional independence (FI) survival model, studied by Willmot (1997), for which the curtate future lifetime and the fractional part of it satisfy the statistical independence assumption, called the fractional independence assumption. The ordering of risks of the FI survival model is analyzed, and its consequences for the evaluation of actuarial present values in life insurance is discussed. Our main fractional reduction (FR) theorem states that two FI future lifetime random variables with identical distributed curtate future lifetime are stochastically ordered (stop-loss ordered) if, and only if, their fractional parts are stochastically ordered (stop-loss ordered). The well-known properties of these stochastic orders allow to find lower and upper bounds for different types of actuarial present values, for example when the random payoff functions of the considered continuous life insurances are convex (concave), or decreasing (increasing), or convex not decreasing (concave not i..." @default.
- W2089704059 created "2016-06-24" @default.
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- W2089704059 date "1999-07-01" @default.
- W2089704059 modified "2023-09-26" @default.
- W2089704059 title "Bounds for Actuarial Present Values Under the Fractional Independence Assumption" @default.
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- W2089704059 doi "https://doi.org/10.1080/10920277.1999.10595827" @default.
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