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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

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

Vanna-Volga methods applied to FX derivatives : from theory to market practice

Bossens, Frédéric; Rayée, Grégory; Skantzos, Nikos S.; … - In: International journal of theoretical and applied finance 13 (2010) 8, pp. 1293-1324

Persistent link: https://www.econbiz.de/10008906158

Minimizing the risk of a financial product using a put option

Deelstra, Griselda; Vanmaele, Michèle; Vyncke, David - In: The journal of risk and insurance : the journal of the … 77 (2010) 4, pp. 767-800

Persistent link: https://www.econbiz.de/10008798298

Optimal funding of defined benefit pension plans

Hainaut, Donatien; Deelstra, Griselda - In: Journal of pension economics and finance 10 (2011) 1, pp. 31-52

Persistent link: https://www.econbiz.de/10009007169

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

Optimal design of the guarantee for defined contribution funds

Deelstra, Griselda; Grasselli, Martino; Koehl, … - In: Journal of economic dynamics & control 28 (2004) 11, pp. 2239-2260

Persistent link: https://www.econbiz.de/10002172298

Yield option pricing in the generalized Cox-Ingersoll-Ross model

Deelstra, Griselda - In: Finance : revue de l'Association Française de Finance 20 (1999) 2, pp. 169-183

Persistent link: https://www.econbiz.de/10001544353

Optimal annuitisation in a deterministic financial environment

Deelstra, Griselda; Devolder, Pierre; Melis, Roberta - In: Decisions in economics and finance : a journal of … 44 (2021) 1, pp. 161-175

Persistent link: https://www.econbiz.de/10012587825