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Approximation of stop-loss premiums involving sums of lognormals by conditioning on two variables

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  • Vanmaele, Michele
  • Deelstra, Griselda
  • Liinev, Jan
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    Abstract

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    File URL: http://www.sciencedirect.com/science/article/B6V8N-4D5P6TM-1/2/c7d186a3e82f248d3e7cc7144382a79c
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    Bibliographic Info

    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 35 (2004)
    Issue (Month): 2 (October)
    Pages: 343-367

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    Handle: RePEc:eee:insuma:v:35:y:2004:i:2:p:343-367

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    Web page: http://www.elsevier.com/locate/inca/505554

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    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Kaas, R & Dhaene, Jan & Goovaerts, Marc, 2000. "Upper and lower bounds for sums of random variables," Open Access publications from Katholieke Universiteit Leuven urn:hdl:123456789/223713, Katholieke Universiteit Leuven.
    2. Deelstra, G. & Liinev, J. & Vanmaele, M., 2004. "Pricing of arithmetic basket options by conditioning," Insurance: Mathematics and Economics, Elsevier, vol. 34(1), pages 55-77, February.
    3. Griselda Deelstra & Jan Liinev & Michèle Vanmaele, 2004. "Pricing of arithmetic basket options by conditioning," ULB Institutional Repository 2013/7600, ULB -- Universite Libre de Bruxelles.
    4. Dhaene, J. & Denuit, M. & Goovaerts, M. J. & Kaas, R. & Vyncke, D., 2002. "The concept of comonotonicity in actuarial science and finance: theory," Insurance: Mathematics and Economics, Elsevier, vol. 31(1), pages 3-33, August.
    5. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
    6. Vyncke, D & Goovaerts, Marc & Dhaene, Jan, 2003. "An accurate analytical approximation for the price of a European-style arithmetic Asian option," Open Access publications from Katholieke Universiteit Leuven urn:hdl:123456789/224539, Katholieke Universiteit Leuven.
    7. Dhaene, J. & Denuit, M. & Goovaerts, M. J. & Kaas, R. & Vyncke, D., 2002. "The concept of comonotonicity in actuarial science and finance: applications," Insurance: Mathematics and Economics, Elsevier, vol. 31(2), pages 133-161, October.
    8. Dhaene, Jan, 2002. "The concept of comonotonicity in actuarial science and finance: theory," Open Access publications from Université catholique de Louvain info:hdl:2078.1/105441, Université catholique de Louvain.
    9. Dhaene, Jan, 2002. "The concept of comonotonicity in actuarial science and finance: applications," Open Access publications from Université catholique de Louvain info:hdl:2078.1/105440, Université catholique de Louvain.
    10. Michael Curran, 1994. "Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price," Management Science, INFORMS, vol. 40(12), pages 1705-1711, December.
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    Citations

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    Cited by:
    1. Georges Dionne & Geneviève Gauthier & Nadia Ouertani & Nabil Tahani, 2006. "Heterogeneous Basket Options Pricing Using Analytical Approximations," Cahiers de recherche 0605, CIRPEE.
    2. Xu, Guoping & Zheng, Harry, 2009. "Approximate basket options valuation for a jump-diffusion model," Insurance: Mathematics and Economics, Elsevier, vol. 45(2), pages 188-194, October.
    3. Xu, Guoping & Zheng, Harry, 2010. "Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 415-422, December.

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