On the distribution of cash flows using esscher transforms

Journal of Risk and Insurance

Volumn 70, Issue 3, 2003, Pages 563-575

  Vyncke, D ^a   Goovaerts, M J ^a,b   De Schepper, A ^c   Kaas, R ^a,b   Dhaene, J ^a,b  

^a UNIVERSITY OF LEUVEN   (Belgium)

^b UNIVERSITY OF AMSTERDAM   (Netherlands)

^c UNIVERSITY OF ANTWERP   (Belgium)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0242267508     PISSN: 00224367     EISSN: None     Source Type: Journal    
DOI: 10.1111/1539-6975.t01-1-00065     Document Type: Review

References (7)

1. Dhaene, J., M. Denuit, M. J. Goovaerts, R. Kaas, and D. Vyncke, 2002, The Concept of Comonotonicity in Actuarial Science and Finance: Theory, Insurance: Mathematics and Economics, 31(1): 3-33.
2. Gerber, H., and E. Shiu, 1994, Option Pricing by Esscher Transforms, Transactions of the Society of Actuaries, 46: 99-139.
3. Goovaerts, M., F. De Vylder, and J. Haezendonck, 1984, Insurance Premiums (Amsterdam: North-Holland).
4. Goovaerts, M., J. Dhaene, and A. De Schepper, 2000, Stochastic Upper Bounds for Present Value Functions, Journal of Risk and Insurance, 67(1): 1-14.
5. Kaas, R., J. Dhaene, and M. Goovaerts, 2000, Upper and Lower Bounds for Sums of Random Variables, Insurance: Mathematics and Economics, 27(2): 151-168.
6. Shaked, M., and J. G. Shanthikumar, 1994, Stochastic Orders and Their Applications (New York: Academic Press).
7. Vyncke, D., M. Goovaerts, and J. Dhaene, 2001, Convex Upper and Lower Bounds for Present Value Functions, Applied Stochastic Models for Business and Industry, 17: 149-164.