In this paper we investigate approximations for the distribution function of a sum S of lognormal random variables. These approximations are obtained by considering the conditional expectation E[S | Lambda ] of S with respect to a conditioning random variable Lambda.The choice for Lambda is...

In the current contribution, we consider the present value of a series of fixed cash flows under stochastic interest rates. In order to model these interest rates, we don't use the common lognormal model, but stable laws, which better fit in with reality. For this present value, we want to...

A subject often recurring in financial and actuarial papers is the pricing of stocks and securities when the rate of return is stochastic. In most cases, the stocks considered are assumed not to pay out any dividend. In the present contribution we show how it is possible to obtain upper and...

In the recent actuarial literature, several proofs have been given for the fact that if a random vector (X1,X2, . . .,Xn) with given marginals has a comonotonic joint distribution, the sum X1 + X2 + middot; middot; middot; + Xn is the largest possible in convex order. In this note we give a...

In an insurance context,one is often interested in the distribution function of a sum of random variables. Such a sum appears when considering the aggregate claims of an insurance portfolio over a certain reference period. It also appears when considering discounted payments related to a single...

In an insurance context, the discounted sum of losses within a finite or infinite time period can be described as a randomly weighted sum of a sequence of independent random variables. These independent random variables represent the amounts of losses in successive development years, while the...