The hurdle-race problem.

DOI10.1016/j.insmatheco.2003.08.008zbMath1103.91353OpenAlexW3124705274MaRDI QIDQ1423369

Marc J. Goovaerts, Rob Kaas, Steven Vanduffel, Jan Dhaene

Publication date: 14 February 2004

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2003.08.008

zbMATH Keywords

ComonotonicitySolvencyOptimal investment strategyStochastic provision

Mathematics Subject Classification ID

Related Items (11)

Convex bound approximations for sums of random variables under multivariate log-generalized hyperbolic distribution and asymptotic equivalences ⋮ A provisioning problem with stochastic payments ⋮ Analytic bounds and approximations for annuities and Asian options ⋮ Comparing Approximations for Risk Measures of Sums of Nonindependent Lognormal Random Variables ⋮ Optimal approximations for risk measures of sums of lognormals based on conditional expectations ⋮ Ruined moments in your life: how good are the approximations? ⋮ Pricing of multi-period rate of return guarantees: the Monte Carlo approach ⋮ Optimal portfolio problem with unknown dependency structure ⋮ Default probabilities of a holding company, with complete and partial information ⋮ Bounds and approximations for sums of dependent log-elliptical random variables ⋮ Some asymptotic results for sums of dependent random variables, with actuarial applications

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