Similar Search Results

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

Approximations for life annuity contracts in a stochastic financial environment

Hoedemakers, Tom; Darkiewicz, Grzegorz; Goovaerts, Marc - In: Insurance: Mathematics and Economics 37 (2005) 2, pp. 239-269

Persistent link: https://www.econbiz.de/10005374705

Approximations for life annuity contracts in a stochastic financial environment

Hoedemakers, Tom; Darkiewicz, Grzegorz; Goovaerts, Marc - In: Insurance / Mathematics & economics 37 (2005) 2, pp. 239-269

Persistent link: https://www.econbiz.de/10006874802

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

Bounds for Right Tails of Deterministic and Stochastic Sums of Random Variables

Darkiewicz, Grzegorz; Deelstra, Griselda; Dhaene, Jan; … - In: Journal of Risk & Insurance 76 (2009) 4, pp. 847-866

Persistent link: https://www.econbiz.de/10008577059

On the use of copulas for calculating the present value of a general cash flow

Goovaerts, Marc J.; De Schepper, Ann; Hua, Yong; … - In: Tijdschrift voor economie en management 50 (2005) 1, pp. 69-93

Persistent link: https://www.econbiz.de/10002749736

Terminal wealth problem under uncertainty : how to choose the right asset mix in case of dependent random payments

Ahčan, Aleš; Darkiewicz-Moniuszko, Grzegorz; … - In: International journal of sustainable economy 3 (2011) 3, pp. 294-311

Persistent link: https://www.econbiz.de/10009373048

Some asymptotic results for sums of dependent random variables, with actuarial applications

Laeven, Roger J.A.; Goovaerts, Marc J.; Hoedemakers, Tom - In: Insurance: Mathematics and Economics 37 (2005) 2, pp. 154-172

Persistent link: https://www.econbiz.de/10005375076

Confidence bounds for discounted loss reserves

Hoedemakers, Tom; Beirlant, Jan; Goovaerts, Marc J.; … - In: Insurance: Mathematics and Economics 33 (2003) 2, pp. 297-316

Persistent link: https://www.econbiz.de/10005375268

Terminal wealth problem under uncertainty: how to choose the right asset mix in case of dependent random payments

Ahcan, Ales; Darkiewicz-Moniuszko, Grzegorz; … - In: International Journal of Sustainable Economy 3 (2011) 3, pp. 294-311

We develop an approximate solution method for a classical saving for retirement problem in case of random payment scheme and value at risk (VaR) defined investor preferences. As the results of our numerical calculations indicate our approximate approach provides greater accuracy and reduces...

Persistent link: https://www.econbiz.de/10009352660