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In Van Weert et al. (2010), results are obtained showing that, when allowing some of the cash flows to be negative, convex order lower bound approximations can still be used to solve general investment problems in a context of provisioning or terminal wealth. In this paper, a correction and...
Persistent link: https://www.econbiz.de/10011046662
This paper addresses the issue of lifetime ruin, which is defined as running out of money before death. Taking into account the random nature of the remaining lifetime, we discuss how a retiree should invest in order to avoid lifetime ruin. We also discuss the conditional time of lifetime ruin...
Persistent link: https://www.econbiz.de/10011121357
In Dhaene et al. (2005), multiperiod portfolio selection problems are discussed, using an analytical approach to find optimal constant mix investment strategies in a provisioning or a savings context. In this paper we extend some of these results, investigating some specific, real-life...
Persistent link: https://www.econbiz.de/10008494910
Persistent link: https://www.econbiz.de/10008422774
In the actuarial research, distortion, mean value and Haezendonck–Goovaerts risk measures are concepts that are usually treated separately. In this paper we indicate and characterize the relation between these different risk measures, as well as their relation to convex risk measures. While it...
Persistent link: https://www.econbiz.de/10011046569
Persistent link: https://www.econbiz.de/10009972452
We investigate lower and upper bounds for right tails (stop-loss premiums) of deterministic and stochastic sums of nonindependent random variables. The bounds are derived using the concepts of comonotonicity, convex order, and conditioning. The performance of the presented approximations is...
Persistent link: https://www.econbiz.de/10008577059
Persistent link: https://www.econbiz.de/10008328676
In this paper we present in a general setting lower and upper bounds for the stop-loss premium of a (stochastic) sum of dependent random variables. Therefore, use is made of the methodology of comonotonic variables and the convex ordering of risks, introduced by Kaas et al. (2000) and Dhaene et...
Persistent link: https://www.econbiz.de/10012734764
SUMMARY Risk measures have been studied for several decades in the actuarial literature, where they appeared under the guise of premium calculation principles. Risk measures and properties that risk measures should satisfy have recently received considerable attention in the financial...
Persistent link: https://www.econbiz.de/10014621319