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Bounds for present value functions with stochastic interest rates and stochastic volatility

De Schepper, Ann; Goovaerts, Marc J.; Dhaene, Jan; Kaas, R. - 2002

Persistent link: https://www.econbiz.de/10001655514

Stochastic upper bounds for present value functions

Goovaerts, Marc J.; Dhaene, Jan; De Schepper, Ann - In: The journal of risk and insurance : the journal of the … 67 (2000) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10001534101

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

Transform analysis and asset pricing for diffusion processes : a recursive approach

Goovaerts, Marc J.; Laeven, Roger; Shang, Zhaoning - In: The journal of computational finance 16 (2012/13) 1, pp. 47-81

Persistent link: https://www.econbiz.de/10009631863

Spectral decomposition of optimal assetliability management

Decamps, Marc; De Schepper, Ann; Goovaerts, Marc J. - In: Journal of economic dynamics & control 33 (2009) 3, pp. 710-724

Persistent link: https://www.econbiz.de/10003817998

Linking dividends and capital injections : a probabilistic approach

Albrecher, Hansjörg; Ivanovs, Jevgenijs - In: Scandinavian actuarial journal (2018) 1, pp. 76-83

Persistent link: https://www.econbiz.de/10011880818

Pricing of Parisian options for a jump-diffusion model with two-sided jumps

Albrecher, Hansjörg; Kortschak, Dominik; Zhou, Xiaowen - In: Applied mathematical finance 19 (2012) 1/2, pp. 97-129

Persistent link: https://www.econbiz.de/10009561239

Joint asymptotic distributions of smallest and largest insurance claims

Albrecher, Hansjörg; Robert, Christian Yann; Teugels, … - In: Risks : open access journal 2 (2014) 3, pp. 289-314

Assume that claims in a portfolio of insurance contracts are described by independent and identically distributed random variables with regularly varying tails and occur according to a near mixed Poisson process. We provide a collection of results pertaining to the joint asymptotic Laplace...

Persistent link: https://www.econbiz.de/10010400269

Ruin probabilities

Asmussen, Søren; Albrecher, Hansjörg - 2010 - 2. ed.

Persistent link: https://www.econbiz.de/10008760401

Ruin probabilities and aggregate claims distributions for shot noise Cox processes

Albrecher, Hansjörg (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003093888