메뉴 건너뛰기




Volumn 24, Issue 3, 1999, Pages 281-290

Supermodular ordering and stochastic annuities

Author keywords

Stochastic annuities; Stop loss order; Supermodular ordering

Indexed keywords


EID: 0000252256     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-6687(99)00002-5     Document Type: Article
Times cited : (23)

References (21)
  • 1
    • 85011531647 scopus 로고    scopus 로고
    • Modeling and comparing dependencies in multivariate risk portfolios
    • Bäuerle N., Müller A. Modeling and comparing dependencies in multivariate risk portfolios. ASTIN Bulletin. 28(1):1998;59-67.
    • (1998) ASTIN Bulletin , vol.28 , Issue.1 , pp. 59-67
    • Bäuerle, N.1    Müller, A.2
  • 2
    • 0001205798 scopus 로고
    • A theory of the term structure of interest rates
    • Cox J.C., Ingersoll J., Ross S. A theory of the term structure of interest rates. Econometrica. 53:1985;385-405.
    • (1985) Econometrica , vol.53 , pp. 385-405
    • Cox, J.C.1    Ingersoll, J.2    Ross, S.3
  • 3
    • 84986857916 scopus 로고
    • Consols in the CIR model
    • Delbaen F. Consols in the CIR model. Mathematical Finance. 3(2):1993;125-134.
    • (1993) Mathematical Finance , vol.3 , Issue.2 , pp. 125-134
    • Delbaen, F.1
  • 5
    • 85011519651 scopus 로고    scopus 로고
    • Dependency of risks and stop-loss order
    • Dhaene, J., Goovaerts, M.J., 1996. Dependency of risks and stop-loss order. ASTIN Bulletin, 26, 201-212.
    • (1996) ASTIN Bulletin , vol.26 , pp. 201-212
    • Dhaene, J.1    Goovaerts, M.J.2
  • 7
    • 84864849879 scopus 로고
    • The distribution of a perpetuity with applications to risk theory and pension funding
    • Dufresne D. The distribution of a perpetuity with applications to risk theory and pension funding. Scandinavian Actuarial Journal. 9:1990;39-79.
    • (1990) Scandinavian Actuarial Journal , vol.9 , pp. 39-79
    • Dufresne, D.1
  • 8
    • 84986786403 scopus 로고
    • Bessel processes, Asian options and perpetuities
    • Geman E., Yor M. Bessel processes, Asian options and perpetuities. Journal of Mathematical Finance. 3:1993;349-375.
    • (1993) Journal of Mathematical Finance , vol.3 , pp. 349-375
    • Geman, E.1    Yor, M.2
  • 9
    • 36749116188 scopus 로고
    • Path-integral evaluation of a non-stationary Calogero model
    • Goovaerts M.J. Path-integral evaluation of a non-stationary Calogero model. Journal of Mathematical Physics. 16(3):1975;720-723.
    • (1975) Journal of Mathematical Physics , vol.16 , Issue.3 , pp. 720-723
    • Goovaerts, M.J.1
  • 10
    • 0001971443 scopus 로고    scopus 로고
    • Actuarial applications of financial models
    • Goovaerts M.J., Dhaene J. Actuarial applications of financial models. CWI Quarterly. 10(1):1997;55-64.
    • (1997) CWI Quarterly , vol.10 , Issue.1 , pp. 55-64
    • Goovaerts, M.J.1    Dhaene, J.2
  • 13
    • 0031572647 scopus 로고    scopus 로고
    • The present value of a stochastic perpetuity and the Gamma distribution
    • Milevsky M.A. The present value of a stochastic perpetuity and the Gamma distribution. Insurance: Mathematics and Economics. 20(3):1997;243-250.
    • (1997) Insurance: Mathematics and Economics , vol.20 , Issue.3 , pp. 243-250
    • Milevsky, M.A.1
  • 14
    • 0031574502 scopus 로고    scopus 로고
    • Stop-loss order for portfolios of dependent risks
    • Müller A. Stop-loss order for portfolios of dependent risks. Insurance: Mathematics and Economics. 21:1997;219-223.
    • (1997) Insurance: Mathematics and Economics , vol.21 , pp. 219-223
    • Müller, A.1
  • 16
    • 0000925325 scopus 로고
    • Inequalities for distributions with given marginals
    • Tchen A. Inequalities for distributions with given marginals. Annals of Probability. 8:1980;814-827.
    • (1980) Annals of Probability , vol.8 , pp. 814-827
    • Tchen, A.1
  • 17
    • 0004263133 scopus 로고    scopus 로고
    • Supermodularity and Complementarity
    • Princeton University Press, Princeton, NJ
    • Topkis, D.M., 1998. Supermodularity and Complementarity. Frontiers of Economic Research. Princeton University Press, Princeton, NJ.
    • (1998) Frontiers of Economic Research
    • Topkis, D.M.1
  • 19
    • 0012798015 scopus 로고    scopus 로고
    • Comonotonicity, correlation order and stop-loss premiums
    • Wang S., Dhaene J. Comonotonicity, correlation order and stop-loss premiums. Insurance: Mathematics and Economics. 22(3):1998;235-243.
    • (1998) Insurance: Mathematics and Economics , vol.22 , Issue.3 , pp. 235-243
    • Wang, S.1    Dhaene, J.2
  • 20
    • 0002569928 scopus 로고
    • The dual theory of choice under risk
    • Yaari M.E. The dual theory of choice under risk. Econometrica. 55:1987;95-115.
    • (1987) Econometrica , vol.55 , pp. 95-115
    • Yaari, M.E.1
  • 21
    • 0000364811 scopus 로고
    • On some exponential functionals of Brownian motion
    • Yor M. On some exponential functionals of Brownian motion. Advances in Applied Probability. 24:1992;509-531.
    • (1992) Advances in Applied Probability , vol.24 , pp. 509-531
    • Yor, M.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.