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~person:"De Waegenaere, Anja"
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De Waegenaere, Anja
Magnus, Jan R.
309
Melenberg, Bertrand
217
Muris, Chris
63
Ikefuji, Masako
40
Soest, Arthur van
31
Melenberg, B.
25
De Luca, Giuseppe
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Magnus, Jan
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Peracchi, Franco
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Driessen, Joost
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Laeven, Roger J. A.
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Dijkgraaf, Elbert
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van soest, arthur
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Ben-Tal, Aharon
9
Stevens, Ralph
9
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Heijmans, Risto D. H.
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Nijman, Theo
8
Sentana, Enrique
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Hertog, Dirk den
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Keuzenkamp, Hugo A.
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Kooreman, Peter
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Martínez-Zarzoso, Inmaculada
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ECONIS (ZBW)
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1
Longevity risk in pension annuities with exchange options : the effect of product design
Stevens, Ralph
;
De Waegenaere, Anja
;
Melenberg, Bertrand
- In:
Insurance / Mathematics & economics
46
(
2010
)
1
,
pp. 222-234
Persistent link: https://www.econbiz.de/10003953356
Saved in:
2
Longevity risk and natural hedge potential in portfolios of life insurance products : the effect of investment risk
Stevens, Ralph
;
De Waegenaere, Anja
;
Melenberg, Bertrand
-
2011
Persistent link: https://www.econbiz.de/10008988371
Saved in:
3
Robust solutions of optimization problems affected by uncertain probabilities
Ben-Tal, Aharon
;
Hertog, Dirk den
;
De Waegenaere, Anja
; …
-
2011
Persistent link: https://www.econbiz.de/10009152559
Saved in:
4
The choice of sample size for mortality forecasting : a Bayesian learning approach
Li, Hong
;
De Waegenaere, Anja
;
Melenberg, Bertrand
- In:
Insurance / Mathematics & economics
63
(
2015
),
pp. 153-168
Persistent link: https://www.econbiz.de/10011349841
Saved in:
5
Robust solutions of optimization problems affected by uncertain probabilities
Ben-Tal, Aharon
;
Hertog, Dirk den
;
De Waegenaere, Anja
; …
- In:
Management science : journal of the Institute for …
59
(
2013
)
2
,
pp. 341-357
Persistent link: https://www.econbiz.de/10009713913
Saved in:
6
Longevity risk
De Waegenaere, Anja
;
Melenberg, Bertrand
;
Stevens, Ralph
- In:
De economist : Netherlands economic review ; quarterly …
158
(
2010
)
2
,
pp. 151-192
Persistent link: https://www.econbiz.de/10009299705
Saved in:
7
A multi-population approach to forecasting all-cause mortality using cause-of-death mortality data
Lyu, Pintao
;
De Waegenaere, Anja
;
Melenberg, Bertrand
- In:
North American actuarial journal : NAAJ ; leading the …
25
(
2021
)
1
,
pp. S421-S456
Persistent link: https://www.econbiz.de/10012440449
Saved in:
8
Robust mean-variance hedging of longevity risk
Li, Hong
;
De Waegenaere, Anja
;
Melenberg, Bertrand
- In:
The journal of risk and insurance : the journal of the …
84
(
2017
),
pp. 459-475
Persistent link: https://www.econbiz.de/10011685211
Saved in:
9
Longevity Risk and Natural Hedge Potential in Portfolios of Life Insurance Products : The Effect of Investment Risk
Stevens, Ralph
-
2011
Payments of life insurance products depend on the uncertain future evolution of survival probabilities. This uncertainty is referred to as longevity risk. Existing literature shows that the effect of longevity risk on single life annuities can be substantial, and that there exists a (natural)...
Persistent link: https://www.econbiz.de/10013127855
Saved in:
10
Robust Solutions of Optimization Problems Affected by Uncertain Probabilities
Ben-Tal, Aharon
-
2011
In this paper we focus on robust linear optimization problems with uncertainty regions defined by ø-divergences (for example, chi-squared, Hellinger, Kullback-Leibler). We show how uncertainty regions based on ø-divergences arise in a natural way as confidence sets if the uncertain parameters...
Persistent link: https://www.econbiz.de/10013124587
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