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Discussion on 'Weighted Pricing Functionals With Applications to Insurance: An Overview'

North American Actuarial Journal, Vol. 14, No. 2, pp. 278-279

3 Pages Posted: 5 Jul 2010 Last revised: 7 Dec 2011

Steven Vanduffel

Vrije Universiteit Brussel (VUB)

Date Written: July 2, 2010

Abstract

The authors are to be congratulated with this timely and well written overview paper on weighted pricing functionals. In Section 5 the authors analyse Stein-type arguments for assessing pricing functionals. In this discussion we provide an extension for these results, and we also briefly discuss a further property of these pricing functionals.

Keywords: Stein's lemma, bounds, lognormal, pricing

Suggested Citation

Vanduffel, Steven, Discussion on 'Weighted Pricing Functionals With Applications to Insurance: An Overview' (July 2, 2010). North American Actuarial Journal, Vol. 14, No. 2, pp. 278-279. Available at SSRN: https://ssrn.com/abstract=1633909

Steven Vanduffel (Contact Author)

Vrije Universiteit Brussel (VUB) ( email )

Pleinlaan 2
Brussels, Brabant 1050
Belgium

HOME PAGE: http://www.stevenvanduffel.com

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