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Confidence bounds for discounted loss reserves

Hoedemakers, Tom; Beirlant, Jan; Goovaerts, Marc J.; … - 2002

Persistent link: https://www.econbiz.de/10001732816

Claims reserving using generalized linear models

Hoedemakers, Tom; Beirlant, Jan; Goovaerts, Marc J.; … - 2003

Persistent link: https://www.econbiz.de/10001820126

On the distribution of life annuities with stochastic interest rates

Hoedemakers, Tom; Darkiewicz, Grzegorz; Goovaerts, Marc J. - 2005

Persistent link: https://www.econbiz.de/10002724614

Computation of convex bounds for present value functions of random payments

Ahcan, Ales; Darkiewicz, Grzegorz; Goovaerts, Marc J.; … - 2004

Persistent link: https://www.econbiz.de/10008657063

Bounds for stop-loss premiums of stochastic sums : (with applications to life contingencies)

Hoedemakers, Tom; Darkiewicz, Grzegorz; Deelstra, Griselda - 2005

Persistent link: https://www.econbiz.de/10002724534

Comparing approximations for risk measures of sums of non-independent lognormal random variables

Vanduffel, Steven; Hoedemakers, Tom; Dhaene, Jan - 2004

Persistent link: https://www.econbiz.de/10002153412

Bounds for right tails of deterministic and stochastic sums of random variables

Darkiewicz, Grzegorz; Deelstra, Griselda; Dhaene, Jan; … - In: The journal of risk and insurance : the journal of the … 76 (2009) 4, pp. 847-866

We investigate lower and upper bounds for right tails (stop-loss premiums) of deterministic and stochastic sums of nonindependent random variables. The bounds are derived using the concepts of comonotonicity, convex order, and conditioning. The performance of the presented approximations is...

Persistent link: https://www.econbiz.de/10003916505