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Pricing of arithmetic basket options by conditioning

Deelstra, Griselda; Liinev, Jan; Vanmaele, Michèle - Solvay Brussels School of Economics and Management, … - 2004

Persistent link: https://www.econbiz.de/10008590322

Long-term returns in stochastic interest rate models: convergence in law

Deelstra, Griselda; Delbaen, Freddy - Solvay Brussels School of Economics and Management, … - 1995

Persistent link: https://www.econbiz.de/10008590332

Optimal design of the guarantee for defined contribution funds

Deelstra, Griselda; Grasselli, Martino; Koehl, … - Solvay Brussels School of Economics and Management, … - 2004

Persistent link: https://www.econbiz.de/10008590400

Approximation of stop-loss premiums involving sums of lognormals by conditioning on two variables

Vanmaele, Michèle; Deelstra, Griselda; Liinev, Jan - Solvay Brussels School of Economics and Management, … - 2004

Persistent link: https://www.econbiz.de/10008590439

Remarks on Boundary crossing...

Deelstra, Griselda - Solvay Brussels School of Economics and Management, … - 1994

Persistent link: https://www.econbiz.de/10008590496

Remarks on the methodology introduced by Goovaerts et al.

Deelstra, Griselda; Delbaen, Freddy - Solvay Brussels School of Economics and Management, … - 1992

Persistent link: https://www.econbiz.de/10008590507

Interaction between asset liability management and risk theory

Deelstra, Griselda; Janssen, Jacques - Solvay Brussels School of Economics and Management, … - 1998

Persistent link: https://www.econbiz.de/10008590541

Optimal investment strategies in the presence of a minimum guarantee

Deelstra, Griselda; Grasselli, Martino; Koehl, … - Solvay Brussels School of Economics and Management, … - 2003

Persistent link: https://www.econbiz.de/10008590655

Minimizing the Risk of a Financial Product Using a Put Option

Deelstra, Griselda; Vanmaele, Michèle; Vyncke, David - In: Journal of Risk & Insurance 77 (2010) 4, pp. 767-800

In this article, we elaborate a method for determining the optimal strike price for a put option, used to hedge a position in a financial product such as a basket of shares and a bond. This strike price is optimal in the sense that it minimizes, for a given budget, a class of risk measures...

Persistent link: https://www.econbiz.de/10008751810

Approximation of stop-loss premiums involving sums of lognormals by conditioning on two variables

Vanmaele, Michèle; Deelstra, Griselda; Liinev, Jan - In: Insurance / Mathematics & economics 35 (2004) 2, pp. 343-368

Persistent link: https://www.econbiz.de/10006879172