A note on large deviations in life insurance

Stefan Gerhold

Papers from arXiv.org

Abstract: We study large and moderate deviations for a life insurance portfolio, without assuming identically distributed losses. The crucial assumption is that losses are bounded, and that variances are bounded below. From a standard large deviations upper bound, we get an exponential bound for the probability of the average loss exceeding a threshold. A counterexample shows that a full large deviation principle does not follow from our assumptions.

Date: 2020-09
New Economics Papers: this item is included in nep-ias and nep-rmg
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