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Optimal portfolio selection for general provisioning and terminal wealth problems
Van Weert, Koen; Dhaene, Jan; Goovaerts, Marc - In: Insurance / Mathematics & economics 47 (2010) 1, pp. 90-98
Persistent link: https://www.econbiz.de/10008422774
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On the interplay between distortion, mean value and Haezendonck–Goovaerts risk measures
Goovaerts, Marc; Linders, Daniël; Van Weert, Koen; … - In: Insurance / Mathematics & economics 51 (2012) 1, pp. 10-19
Persistent link: https://www.econbiz.de/10009972452
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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
Persistent link: https://www.econbiz.de/10008328676
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Bounds for present value functions with stochastic interest rates and stochastic volatility
De Schepper, Ann; Goovaerts, Marc; Dhaene, Jan; Kaas, Rob; … - In: Insurance / Mathematics & economics 31 (2002) 1, pp. 87-104
Persistent link: https://www.econbiz.de/10006893484
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Static Hedging of Asian Options under Lévy Models
Albrecher, Hansjörg; Dhaene, Jan; Goovaerts, Marc; … - In: The journal of derivatives : the official publication … 12 (2005) 3, pp. 63
Persistent link: https://www.econbiz.de/10005923133
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A recursive approach to mortality-linked derivative pricing
Shang, Zhaoning; Goovaerts, Marc; Dhaene, Jan - In: Insurance / Mathematics & economics 49 (2011) 2, pp. 240-249
Persistent link: https://www.econbiz.de/10009164484
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An accurate analytical approximation for the price of a European-style arithmetic Asian option
Vyncke, David; Goovaerts, Marc; Dhaene, Jan - In: Finance : revue de l'Association Française de Finance 25 (2004) Numéro hors séries, pp. 121-139
Persistent link: https://www.econbiz.de/10009918894
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A note on the properties of the optimal solution(s) of the Greed and Regret problem
Deelstra, Griselda; Petkovic, Alexandre; Vanmaele, Michèle - In: European journal of operational research : EJOR 204 (2010) 3, pp. 690-694
Persistent link: https://www.econbiz.de/10008375397
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A locally risk-minimizing hedging strategy for unit-linked life insurance contracts in a Lévy process financial market
Vandaele, Nele; Vanmaele, Michèle - In: Insurance / Mathematics & economics 42 (2008) 3, pp. 1128-1137
Persistent link: https://www.econbiz.de/10008057639
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Risk management of a bond portfolio using options
Annaert, Jan; Deelstra, Griselda; Heyman, Dries; … - In: Insurance / Mathematics & economics 41 (2007) 3, pp. 299-316
Persistent link: https://www.econbiz.de/10007865935