A note on large deviations in life insurance
Probability
2020-09-04 v1 Risk Management
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.
Cite
@article{arxiv.2009.01644,
title = {A note on large deviations in life insurance},
author = {Stefan Gerhold},
journal= {arXiv preprint arXiv:2009.01644},
year = {2020}
}