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arXiv · 2009.01644

A note on large deviations in life insurance

Stefan Gerhold
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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. 2020-09-03. A note on large deviations in life insurance. https://arxiv.org/abs/2009.01644

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