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A note on large deviations in life insurance

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  • Stefan Gerhold

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.

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  • Stefan Gerhold, 2020. "A note on large deviations in life insurance," Papers 2009.01644, arXiv.org.
    • Handle: RePEc:arx:papers:2009.01644
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    1. Amir Dembo & Jean-Dominique Deuschel & Darrell Duffie, 2004. "Large portfolio losses," Finance and Stochastics, Springer, vol. 8(1), pages 3-16, January.
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