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Upper and lower bounds for sums of random variables

Kaas, Rob; Dhaene, Jan; Goovaerts, Marc J. - In: Insurance: Mathematics and Economics 27 (2000) 2, pp. 151-168

Persistent link: https://www.econbiz.de/10005374604

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

Comonotonicity, correlation order and premium principles

Wang, Shaun; Dhaene, Jan - In: Insurance: Mathematics and Economics 22 (1998) 3, pp. 235-242

Persistent link: https://www.econbiz.de/10005374794

Does positive dependence between individual risks increase stop-loss premiums?

Denuit, Michel; Dhaene, Jan; Ribas, Carmen - In: Insurance: Mathematics and Economics 28 (2001) 3, pp. 305-308

Persistent link: https://www.econbiz.de/10005374883

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

On a class of approximative computation methods in the individual risk model

Dhaene, Jan; Pril, Nelson De - In: Insurance: Mathematics and Economics 14 (1994) 2, pp. 181-196

Persistent link: https://www.econbiz.de/10005375299

Some new classes of consistent risk measures

Goovaerts, Marc J.; Kaas, Rob; Dhaene, Jan; Tang, Qihe - In: Insurance: Mathematics and Economics 34 (2004) 3, pp. 505-516

Persistent link: https://www.econbiz.de/10005380617

Recursions for the individual model

Dhaene, Jan; Vandebroek, Martina - In: Insurance: Mathematics and Economics 16 (1995) 1, pp. 31-38

Persistent link: https://www.econbiz.de/10005380642

The safest dependence structure among risks

Dhaene, Jan; Denuit, Michel - In: Insurance: Mathematics and Economics 25 (1999) 1, pp. 11-21

Persistent link: https://www.econbiz.de/10005380670

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