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A recursive approach to mortality-linked derivative pricing

Shang, Zhaoning; Goovaerts, Marc J.; Dhaene, Jan - In: Insurance / Mathematics & economics 49 (2011) 2, pp. 240-248

Persistent link: https://www.econbiz.de/10009242028

Transform analysis and asset pricing for diffusion processes : a recursive approach

Goovaerts, Marc J.; Laeven, Roger; Shang, Zhaoning - In: The journal of computational finance 16 (2012/13) 1, pp. 47-81

Persistent link: https://www.econbiz.de/10009631863

Bounds for present value functions with stochastic interest rates and stochastic volatility

DE SCHEPPER, Ann; GOOVAERTS, Marc; DHAENE, Jan; KAAS, Rob; … - Faculteit Toegepaste Economische Wetenschappen, … - 2001

The distribution of the present value of a series of cash flows under stochastic interest rates has been investigated by many researchers. One of the main problems in this context is the fact that the calculation of exact analytical results for this type of distributions turns out to be rather...

Persistent link: https://www.econbiz.de/10005588140

Stochastic upper bounds for present value functions

Goovaerts, Marc J.; Dhaene, Jan; De Schepper, Ann - In: The journal of risk and insurance : the journal of the … 67 (2000) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10001534101

Upper and lower bounds for sums of random variables

Kaas, R.; Dhaene, Jan; Goovaerts, Marc J. - 2000

Persistent link: https://www.econbiz.de/10001593693

Some remarks on IBNR evaluation techniques

Goovaerts, Marc J.; Dhaene, Jan; VandenBorre, Eddy; … - 2000

Persistent link: https://www.econbiz.de/10001593727

A simple geometric proof that comonotonic risks have the convex-largest sum

Kaas, R.; Dhaene, Jan; Vyncke, David; Goovaerts, Marc J.; … - 2001

Persistent link: https://www.econbiz.de/10001594219

An accurate analytical approximation for the price of a European-style arithmetic Asian option

Vyncke, David; Goovaerts, Marc J.; Dhaene, Jan - 2003

Persistent link: https://www.econbiz.de/10001769796

Claims reserving using generalized linear models

Hoedemakers, Tom; Beirlant, Jan; Goovaerts, Marc J.; … - 2003

Persistent link: https://www.econbiz.de/10001820126

Economic capital allocation derived from risk measures

Goovaerts, Marc J.; Dhaene, Jan; Kaas, R. - 2002

Persistent link: https://www.econbiz.de/10001696847

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