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An application of comonotonicity and convex ordering to present values with truncated stochastic interest rates
Koch, Inge; Schepper, Ann De - In: Insurance: Mathematics and Economics 40 (2007) 3, pp. 386-402
Persistent link: https://www.econbiz.de/10005374863
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Distribution-free option pricing
Schepper, Ann De; Heijnen, Bart - In: Insurance: Mathematics and Economics 40 (2007) 2, pp. 179-199
Persistent link: https://www.econbiz.de/10005380598
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The GARCH(1,1)-M model: results for the densities of the variance and the mean
De Schepper, Ann; Goovaerts, Marc J. - In: Insurance: Mathematics and Economics 24 (1999) 1-2, pp. 83-94
Persistent link: https://www.econbiz.de/10005375436
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IBNR reserves under stochastic interest rates
Goovaerts, Marc; De Schepper, Ann - In: Insurance: Mathematics and Economics 21 (1997) 3, pp. 225-244
Persistent link: https://www.econbiz.de/10005375511
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Bounds for present value functions with stochastic interest rates and stochastic volatility
De Schepper, Ann; Goovaerts, Marc; Dhaene, Jan; Kaas, Rob; … - In: Insurance: Mathematics and Economics 31 (2002) 1, pp. 87-103
Persistent link: https://www.econbiz.de/10005365497