A note on large deviations in life insurance

2020/09/03 by Gerhold, Stefan
#60F10 #91B30 #FOS: Economics and business #FOS: Mathematics #Probability (math.PR) #Risk Management (q-fin.RM)

paper · doi:10.48550/arxiv.2009.01644

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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