In an insurance context,one is often interested in the distribution function of a sum of random variables. Such a sum appears when considering the aggregate claims of an insurance portfolio over a certain reference period. It also appears when considering discounted payments related to a single...

In the current contribution, we consider the present value of a series of fixed cash flows under stochastic interest rates. In order to model these interest rates, we don't use the common lognormal model, but stable laws, which better fit in with reality. For this present value, we want to...

A subject often recurring in financial and actuarial papers is the pricing of stocks and securities when the rate of return is stochastic. In most cases, the stocks considered are assumed not to pay out any dividend. In the present contribution we show how it is possible to obtain upper and...

SUMMARY Risk measures have been studied for several decades in the actuarial literature, where they appeared under the guise of premium calculation principles. Risk measures and properties that risk measures should satisfy have recently received considerable attention in the financial...

In an insurance context, one is often interested in the distribution function of a sum of random variables. Such a sum appears when considering the aggregate claims of an insurance portfolio over a certain reference period. It also appears when considering discounted payments related to a single...

In this paper we present an efficient methodology for approximating the distribution function of the net present value of a series of cash-flows, when the discounting is presented by a stochastic differential equation as in the Vasicek model and in the Ho-Lee model. Upper and lower bounds in...

Many types of insurance premium principles and/or risk measures can be characterized by means of a set of axioms, which in many cases are rather arbitrarily chosen and not always in accordance with economic reality. In the present paper we gener alize Yaari's risk measure by relaxing his axioms....