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Insurance : mathematics and economics-Número 3 40 2007

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Publicación: Insurance : mathematics and economics

Número: Número 3 40 2007

Tipo: Normal

Derechos: InC

Título	Autor	Páginas
Lookback options and dynamic fund protection under multiscale stochastic volatility
An application of comonotonicity and convex ordering to present values with truncated stochastic interest rates
On variational bounds in the compound Poisson approximation of the individual risk model
Th ruin probability of the renewal moedel with constant interest force and negatively dependent heavy-tailed claims
Bayesian graduation of mortality rates: an application to reserve evaluation
Hedging life insurance with pure endowments
The effect of management discretion on hedging and fair valutation of participating policies with maturity guarantees
Optimal pricing for a hterogeneous poftfolio for a given risk factor and conve distance measure
Rational reconsturction of frailty-based mortality models by a generalisation of Gompertz' law of mortality
Moments of claims in a Markovian environment
Asymptotic behaviour of the finite-time ruin probabillty under subexponential claim sizes
Dividend payments with a threshold strategy in the compound Poisson risk model perturbed by diffusion
Lower tail dependence for Archimedean copulas: Characterization and pitfalls