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Static hedging of Asian options under Levy models: the comonotonic approach. Research Report OR 0365, Department of Applied
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Benchmarking, portfolio Journal of Economic Dynamics & Control
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Cesari, R. and Cremonini, D. (2003) Benchmarking, portfolio insurance and technical analysis: a Monte Carlo comparison of dynamic strategies of asset allocation, Journal of Economic Dynamics & Control, 27: 987–1011.
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Dhaene, J., Denuit, M., Goovaerts, M.J., Kaas, R., and Vyncke, D. (2002a) The concept of comonotonicity in actuarial science and finance: theory. Insurance: Mathematics and Economics, 31(1): 3–33.
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Dhaene, J., Denuit, M., Goovaerts, M. J., Kaas, R., and Vyncke, D. (2002b) The concept of comonotonicity in actuarial science and finance: applications. Insurance: Mathematics and Economics, 31(2): 133–161.
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Insurance: Mathematics and Economics
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Dhaene, J., Vanduffel, S., Goovaerts, M.J., Kaas, R., and Vyncke, D. (2004) Comonotonic approximations for optimal portfolio selection problems. Journal of Risk and Insurance, to appear.
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Comonotonic approximations for optimal portfolio selection problems.
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Dhaene, J.1
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Goovaerts, M.J.3
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Research Report OR 0416, Department of Applied
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Economics, K.U. Leuven.
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Dhaene, J., Vanduffel, S., Tang, Q., Goovaerts, M.J., Kaas, R., and Vyncke, D. (2004) Solvency capital, risk measures and comonotonicity a review. Research Report OR 0416, Department of Applied Economics, K.U. Leuven.
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Solvency capital, risk measures and comonotonicity a review.
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Dhaene, J.1
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Proceedings of the 8th International Congress on Insurance: Mathematics and Economics
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Rome June. Huang, H., Milevsky, M., and Wang, J. (2004) Ruined moments in your life: how good are the approximations? Insurance: Mathematics and Economics
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Goovaerts M.J., De Schepper, A., Hua, Y., Darkiewicz, G., and Vyncke, D. (2003) An investigation on the use of copulas when calculation general cash flow distributions. Proceedings of the 8th International Congress on Insurance: Mathematics and Economics, Rome, 14–16 June. Huang, H., Milevsky, M., and Wang, J. (2004) Ruined moments in your life: how good are the approximations? Insurance: Mathematics and Economics 34(3): 421–447.
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An investigation on the use of copulas when calculation general cash flow distributions.
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Insurance: Mathematics and Economics
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Kaas, R., Dhaene, J., and Goovaerts, M. (2000) Upper and lower bounds for sums of random variables. Insurance: Mathematics and Economics, 27: 151–168.
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Upper and lower bounds for sums of random variables.
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Kaas, R.1
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Review of Quantitative Finance and Accounting
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Milevsky, M., Ho, K., and Robinson, C. (1997) Asset allocation via the conditional first exit time or how to avoid outliving your money. Review of Quantitative Finance and Accounting, 9(1): 53–70.
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Journal of Financial and Quantitative Analysis
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Milevsky, M.A. and Posner, S.E. (1998) Asian options, the sum of lognormals, and the reciprocal gamma distribution. Journal of Financial and Quantitative Analysis, 33(3): 409–422.
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Vanduffel, S., Dhaene, J., Goovaerts, M.J., and Kaas, R. (2003) The hurdle-race problem. Insurance: Mathematics and Economics, 33(2): 405–413.
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The hurdle-race problem.
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Vanduffel, S.1
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Economics, K.U. Leuven
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Vanduffel, S., Hoedemakers, T., and Dhaene, J. (2004) Comparing approximations for sums of non-independent lognormal random variables. Research Report OR 0418, Department of Applied Economics, K.U. Leuven.
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Comparing approximations for sums of non-independent lognormal random variables. Research Report OR 0418, Department of Applied
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Vanduffel, S.1
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European Journal of Operational Research, to appear
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Vanmaele, M., Deelstra, G., Liinev, J., Dhaene, J., and Goovaerts, M.J. (2004), Bounds for the price of discretely sampled arithmetic Asian options. European Journal of Operational Research, to appear.
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Bounds for the price of discretely sampled arithmetic Asian options.
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Vanmaele, M.1
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