Showing 1 - 10 of 32
In this paper, we develop a recursive method to derive an exact numerical and nearly analytical representation of the Laplace transform of the transition density function with respect to the time variable for time-homogeneous diffusion processes. We further apply this recursion algorithm to the...
Persistent link: https://www.econbiz.de/10009146180
Even in case of the Brownian motion as most natural rate of return model it appears too difficult to obtain analytic expressions for most risk measures of constant continuous annuities. In literature the so-called comonotonic approximations have been proposed but these still require the...
Persistent link: https://www.econbiz.de/10005374706
Persistent link: https://www.econbiz.de/10005365497
In Dhaene et al. (2005), multiperiod portfolio selection problems are discussed, using an analytical approach to find optimal constant mix investment strategies in a provisioning or a savings context. In this paper we extend some of these results, investigating some specific, real-life...
Persistent link: https://www.econbiz.de/10008494910
In Van Weert et al. (2010), results are obtained showing that, when allowing some of the cash flows to be negative, convex order lower bound approximations can still be used to solve general investment problems in a context of provisioning or terminal wealth. In this paper, a correction and...
Persistent link: https://www.econbiz.de/10011046662
Persistent link: https://www.econbiz.de/10005374705
Persistent link: https://www.econbiz.de/10005375112
Persistent link: https://www.econbiz.de/10005375291
Persistent link: https://www.econbiz.de/10005375381
Persistent link: https://www.econbiz.de/10005375391