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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
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Computation of convex bounds for present value functions of random payments
Ahcan, Ales; Darkiewicz, Grzegorz; Goovaerts, Marc J.; … - 2004
Persistent link: https://www.econbiz.de/10008657063
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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
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Claims reserving using generalized linear models
Hoedemakers, Tom; Beirlant, Jan; Goovaerts, Marc J.; … - 2003
Persistent link: https://www.econbiz.de/10001820126
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Confidence bounds for discounted loss reserves
Hoedemakers, Tom; Beirlant, Jan; Goovaerts, Marc J.; … - 2002
Persistent link: https://www.econbiz.de/10001732816
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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
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On the distribution of discounted loss reserves using generalized linear models
Hoedemakers, Tom; Beirlant, Jan; Goovaerts, Marc J.; … - In: Scandinavian actuarial journal : Actuarial Society of … 105 (2005) 1, pp. 25-45
Persistent link: https://www.econbiz.de/10005923309
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Confidence bounds for discounted loss reserves
Hoedemakers, Tom; Beirlant, Jan; Goovaerts, Marc J.; … - In: Insurance / Mathematics & economics 33 (2003) 2, pp. 297-316
Persistent link: https://www.econbiz.de/10006885592
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A Comonotonic Image of Independence for Additive Risk Measures
Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J.A.; … - 2004
This paper presents a new axiomatic characterization of risk measures that are additive for independent random variables. In contrast to previous work, we include an axiom that guarantees monotonicity of the risk measure. Furthermore, the axiom of additivity for independent random variables is...
Persistent link: https://www.econbiz.de/10010325273
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An optimization approach to the dynamic allocation of economic capital
Laeven, Roger J.A.; Goovaerts, Marc J. - 2003
We propose an optimization approach to allocating economic capital, distinguishing between an allocation principle and a measure for the risk residual...
Persistent link: https://www.econbiz.de/10005847405