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Stochastic process
Theorie
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42
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Dhaene, Jan
8
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6
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5
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3
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3
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2
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2
Shang, Zhaoning
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1
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1
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1
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ECONIS (ZBW)
15
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1
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
Saved in:
2
Bounds for present value functions with stochastic interest rates and stochastic volatility
De Schepper, Ann
;
Goovaerts, Marc J.
;
Dhaene, Jan
;
Kaas, R.
-
2002
Persistent link: https://www.econbiz.de/10001655514
Saved in:
3
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
Saved in:
4
Comparing approximations for risk measures of sums of non-independent lognormal random variables
Vanduffel, Steven
;
Hoedemakers, Tom
;
Dhaene, Jan
-
2004
Persistent link: https://www.econbiz.de/10002153412
Saved in:
5
On the distribution of life annuities with stochastic interest rates
Hoedemakers, Tom
;
Darkiewicz, Grzegorz
;
Goovaerts, Marc J.
-
2005
Persistent link: https://www.econbiz.de/10002724614
Saved in:
6
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
Saved in:
7
Spectral decomposition of optimal assetliability management
Decamps, Marc
;
De Schepper, Ann
;
Goovaerts, Marc J.
- In:
Journal of economic dynamics & control
33
(
2009
)
3
,
pp. 710-724
Persistent link: https://www.econbiz.de/10003817998
Saved in:
8
An explicit option-based strategy that outperforms dollar cost averaging
Vanduffel, Steven
;
Ahcan, Ales
;
Henrard, Luc
;
Maj, Mateusz
- In:
International journal of theoretical and applied finance
15
(
2012
)
2
,
pp. 1-19
Persistent link: https://www.econbiz.de/10009624518
Saved in:
9
Using model-independent lower bounds to improve pricing of Asian style options in Lévy markets
Deelstra, Griselda
;
Rayée, Grégory
;
Vanduffel, Steven
; …
- In:
Astin bulletin : the journal of the International …
44
(
2014
)
2
,
pp. 237-276
Persistent link: https://www.econbiz.de/10010393957
Saved in:
10
A provisioning problem with stochastic payments
Pagnoncelli, Bernardo K.
;
Vanduffel, Steven
- In:
European journal of operational research : EJOR
221
(
2012
)
2
,
pp. 445-453
Persistent link: https://www.econbiz.de/10009557675
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