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Spectral decomposition of optimal asset–liability management
Decamps, Marc; De Schepper, Ann; Goovaerts, Marc - In: Journal of economic dynamics & control 33 (2009) 3, pp. 710-724
Persistent link: https://www.econbiz.de/10008175468
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Editorial
Goovaerts, Marc; Kaas, Rob; Shiu, Elias - In: Insurance / Mathematics & economics 44 (2009) 2, pp. 267
Persistent link: https://www.econbiz.de/10008237876
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Editorial
Kaas, Rob; Loos, Jeroen; Gerber, Hans; Goovaerts, Marc; … - In: Insurance / Mathematics & economics 44 (2009) 2, pp. 261-265
Persistent link: https://www.econbiz.de/10008237878
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On the interplay between distortion, mean value and Haezendonck–Goovaerts risk measures
Goovaerts, Marc; Linders, Daniël; Van Weert, Koen; … - In: Insurance / Mathematics & economics 51 (2012) 1, pp. 10-19
Persistent link: https://www.econbiz.de/10009972452
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The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance
Goovaerts, Marc; Kaas, Rob; Laeven, Roger; Tang, Qihe; … - In: Scandinavian actuarial journal : Actuarial Society of … 105 (2005) 6, pp. 446-461
Persistent link: https://www.econbiz.de/10007258637
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Spectral decomposition of optimal asset–liability management
Decamps, Marc; De Schepper, Ann; Goovaerts, Marc - In: Journal of economic dynamics & control 33 (2009) 3, pp. 710-725
Persistent link: https://www.econbiz.de/10008890116
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Editorial
Goovaerts, Marc; Kaas, Rob; Shiu, Elias - In: Insurance / Mathematics & economics 44 (2009) 2, pp. 267-268
Persistent link: https://www.econbiz.de/10008890283
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Editorial
Kaas, Rob; Loos, Jeroen; Gerber, Hans; Goovaerts, Marc; … - In: Insurance / Mathematics & economics 44 (2009) 2, pp. 261-264
Persistent link: https://www.econbiz.de/10008890285
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Spectral Decomposition of Optimal Asset-Liability Management
De Schepper, Ann; Goovaerts, Marc; Decamps, Marc - 2009
This paper concerns optimal asset-liability management when the assets and the liabilities are modeled by means of correlated geometric Brownian motions as suggested in Gerber and Shiu (2003). In a first part, we apply singular stochastic control techniques to derive a free boundary equation for...
Persistent link: https://www.econbiz.de/10014214155
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Premium calculation in insurance : [proceedings of the NATO Advanced Study Institute on Insurance Premiums, Louvain, Belgium, July 18 - 31, 1983]
Vylder, Florent de (contributor);  … - 1984
Persistent link: https://www.econbiz.de/10013355681