Similar Search Results

Dhaene, Jan; Tsanakas, Andreas; Valdez, Emiliano A.; … - In: Journal of Risk & Insurance 79 (2012) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10010544000

Analytic bounds and approximations for annuities and Asian options

Vanduffel, Steven; Shang, Zhaoning; Henrard, Luc; … - In: Insurance: Mathematics and Economics 42 (2008) 3, pp. 1109-1117

Even in case of the Brownian motion as most natural rate of return model it appears too difficult to obtain analytic expressions for most risk measures of constant continuous annuities. In literature the so-called comonotonic approximations have been proposed but these still require the...

Persistent link: https://www.econbiz.de/10005374706

Bounds and approximations for sums of dependent log-elliptical random variables

Valdez, Emiliano A.; Dhaene, Jan; Maj, Mateusz; … - In: Insurance: Mathematics and Economics 44 (2009) 3, pp. 385-397

Dhaene, Denuit, Goovaerts, Kaas and Vyncke [Dhaene, J., Denuit, M., Goovaerts, M.J., Kaas, R., Vyncke, D., 2002a. The concept of comonotonicity in actuarial science and finance: theory. Insurance Math. Econom. 31 (1), 3-33; Dhaene, J., Denuit, M., Goovaerts, M.J., Kaas, R., Vyncke, D., 2002b. The...

Persistent link: https://www.econbiz.de/10004973659

The tail Stein's identity with applications to risk measures

Landsman, Zinoviy; Valdez, Emiliano - In: North American actuarial journal 20 (2016) 4, pp. 313-326

Persistent link: https://www.econbiz.de/10011721394

Modeling partial Greeks of variable annuities with dependence

Gan, Guojun; Valdez, Emiliano - In: Insurance / Mathematics & economics 76 (2017), pp. 118-134

Persistent link: https://www.econbiz.de/10011774791

Predictive compound risk models with dependence

Jeong, Himchan; Valdez, Emiliano - In: Insurance / Mathematics & economics 94 (2020), pp. 182-195

Persistent link: https://www.econbiz.de/10012419204

A multi-year microlevel collective risk model

Oh, Rosy; Jeong, Himchan; Ahn, Jae Youn; Valdez, Emiliano - In: Insurance / Mathematics & economics 100 (2021), pp. 309-328

Persistent link: https://www.econbiz.de/10012622396

Regression modeling for the valuation of large variable annuity portfolios

Gan, Guojun; Valdez, Emiliano - In: North American actuarial journal 22 (2018) 1, pp. 40-54

Persistent link: https://www.econbiz.de/10012267976

Fat-tailed regression modeling with spliced distributions

Gan, Guojun; Valdez, Emiliano - In: North American actuarial journal 22 (2018) 4, pp. 554-573

Persistent link: https://www.econbiz.de/10012268127

A non-convex regularization approach for stable estimation of loss development factors

Jeong, Himchan; Chang, Hyunwoong; Valdez, Emiliano - In: Scandinavian actuarial journal 2021 (2021) 9, pp. 779-803

Persistent link: https://www.econbiz.de/10012653688