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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

Pricing variable annuity guarantees in a local volatility framework

Deelstra, Griselda; Rayée, Grégory - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 650-663

Persistent link: https://www.econbiz.de/10010227910

Optimal timing for annuitization, based on jump diffusion fund and stochastic mortality

Hainaut, Donatien; Deelstra, Griselda - In: Journal of economic dynamics & control 44 (2014), pp. 124-146

Persistent link: https://www.econbiz.de/10010473569

Using model-independent lower bounds to improve pricing of Asian style options in Lévy markets

Deelstra, Griselda; Rayée, Grégory; Vanduffel, Steven; … - In: Astin bulletin : the journal of the International … 44 (2014) 2, pp. 237-276

Persistent link: https://www.econbiz.de/10010393957

Conditional dominance criteria : definition and application to risk-management

Deelstra, Griselda; Grasselli, Martino; Koehl, … - 1999

Persistent link: https://www.econbiz.de/10001355592

Local volatility pricing models for long-dated FX derivatives

Deelstra, Griselda; Rayée, Grégory - In: Applied mathematical finance 20 (2013) 3/4, pp. 380-402

Persistent link: https://www.econbiz.de/10010187656

Multivariate FX models with jumps : triangles, Quantos and implied correlation

Ballotta, Laura; Deelstra, Griselda; Rayée, Grégory - In: European journal of operational research : EJOR 260 (2017) 3, pp. 1181-1199

Persistent link: https://www.econbiz.de/10011714363

The role of the dependence between mortality and interest rates when pricing guaranteed annuity options

Deelstra, Griselda; Grasselli, Martino; Van Weverberg, … - In: Insurance / Mathematics & economics 71 (2016), pp. 205-219

Persistent link: https://www.econbiz.de/10011630651

A self-exciting switching jump diffusion : properties, calibration and hitting time

Hainaut, Donatien; Deelstra, Griselda - In: Quantitative finance 19 (2019) 3, pp. 407-426

Persistent link: https://www.econbiz.de/10012194661

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