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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

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

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

Approximation formulae for compound Poisson processes for some kind of claim distributions having a prescribed asymptotic behavior

VanGoethem, P.; Goovaerts, M. J. - 1977

Persistent link: https://www.econbiz.de/10001500659

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

Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior

Feng, Runhuan; Jing, Xiaochen; Dhaene, Jan - 2015

The computation of various risk metrics is essential to the quantitative risk management of variable annuity guaranteed benefits. The current market practice of Monte Carlo simulation often requires intensive computations, which can be very costly for insurance companies to implement and take so...

Persistent link: https://www.econbiz.de/10010464782

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

Systemic risk : conditional distortion risk measures

Dhaene, Jan; Laeven, Roger J. A.; Zhang, Yiying - In: Insurance / Mathematics & economics 102 (2022), pp. 126-145

Persistent link: https://www.econbiz.de/10013271967