We develop an approximate solution method for a classical saving for retirement problem in case of random payment scheme and VAR defined investor preferences. As the results of our numerical calculations indicate our approximate approach facilitates greater accuracy and reduces simulation time...

In the traditional approach to life contingencies only decrements are assumed to be stochastic. In this contribution we consider the distribution of a life annuity (and a portfolio of life annuities) when also the stochastic nature of interest rates is taken into account. Although the literature...

In this paper we present in a general setting lower and upper bounds for the stop-loss premium of a (stochastic) sum of dependent random variables. Therefore, use is made of the methodology of comonotonic variables and the convex ordering of risks, introduced by Kaas et al. (2000) and Dhaene et...

We consider the problem of determining appropriate solvency capital requirements for an insurance company or a financial institution. We demonstrate that the subadditivity condition that is often imposed on solvency capital principles can lead to the undesirable situation where the shortfall...

In this paper we give some methods to set up confidence bounds for the discounted IBNR reserve. We start with a loglinear regression model and estimate the parameters by maximum likelihood such as given for example in Doray, 1996. The knowledge of the distribution function of the discounted IBNR...

In this paper we consider different approximations for computing the distribution function or risk measures related to a discrete sum of nonindependent lognormal random variables. Comonotonic upper bound and lower bound approximations for such sums have been proposed in Dhaene et al. (2002a,b)....