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Information about:
Ann De Schepper

Personal Details | Affiliation | Works
This is information that was supplied by Ann De Schepper in registering through RePEc. If you are Ann De Schepper , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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Personal Details

First Name: Ann
Middle Name:
Last Name: De Schepper
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RePEc Short-ID: pde208

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Homepage: http://www.ua.ac.be/ann.deschepper
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Affiliation

(in no particular order)

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Wouters G. & De Schepper A., 2009. "Optimal Moment Bounds under Multiple Shape Constraints," Working Papers 2009005, University of Antwerp, Faculty of Applied Economics. [Downloadable!]

  2. Michiels F. & Koch I. & De Schepper A., 2008. "Exploring the Lambda Copula Construction Method for Archimedean copulas: Discussion of Three Lambda Types," Working Papers 2008021, University of Antwerp, Faculty of Applied Economics. [Downloadable!]

  3. Michiels F. & De Schepper A., 2007. "A Copula Test Space Model: How To Avoid the Wrong Copula Choice," Working Papers 2007027, University of Antwerp, Faculty of Applied Economics. [Downloadable!]

  4. De Schepper A. & Heijnen B., 2006. "Risk management under incomplete information: exact upper and lower bounds for the probability to reach extreme values," Working Papers 2006019, University of Antwerp, Faculty of Applied Economics. [Downloadable!]

  5. Koch I. & De Schepper A., 2006. "The comonotonicity coefficient: a new measure of positive dependence in a multivariate setting," Working Papers 2006030, University of Antwerp, Faculty of Applied Economics. [Downloadable!]

  6. De Schepper A. & Heijnen B., 2006. "Risk management under incomplete information: exact upper and lower bounds for the Value at Risk," Working Papers 2006020, University of Antwerp, Faculty of Applied Economics. [Downloadable!]

  7. Koch I. & De Schepper A., 2005. "Discrete annuities using truncate stochastic interest rates: the case of a Vasicek and Ho-Lee model," Working Papers 2005006, University of Antwerp, Faculty of Applied Economics. [Downloadable!]

  8. Koch I. & De Schepper A., 2004. "General annuities under truncate stochastic interest rates," Working Papers 2004016, University of Antwerp, Faculty of Applied Economics. [Downloadable!]

  9. De Schepper A. & Heijnen B., 2004. "On the pricing of options under limited information," Working Papers 2004004, University of Antwerp, Faculty of Applied Economics. [Downloadable!]

  10. Goovaerts M. & De Schepper Ann & Hua Y., 2003. "Copulas and the distribution of cash flows with mixed signs," Working Papers 2003009, University of Antwerp, Faculty of Applied Economics. [Downloadable!]

  11. Decamps Marc & De Schepper Ann & Goovaerts Marc, 2003. "Path integrals as a tool for pricing interest rate contingent claims: the case of reflecting and absorbing boundaries," Working Papers 2003027, University of Antwerp, Faculty of Applied Economics. [Downloadable!]

  12. Goovaerts M. & De Schepper A. & Decamps M., 2002. "Transition probabilities for diffusion equations by means of path integrals," Working Papers 2002026, University of Antwerp, Faculty of Applied Economics. [Downloadable!]

  13. De Schepper A. & Goovaerts M. & Dhaene J. & Kaas R. & Vyncke D., 2001. "Bounds for present value functions with stochastic interest rates and stochastic volatility," Working Papers 2001037, University of Antwerp, Faculty of Applied Economics. [Downloadable!]
    Published as:

Articles

  1. Decamps, Marc & De Schepper, Ann & Goovaerts, Marc, 2009. "Spectral decomposition of optimal asset-liability management," Journal of Economic Dynamics and Control, Elsevier, vol. 33(3), pages 710-724, March. [Downloadable!] (restricted)

  2. D. Vyncke & M. J. Goovaerts & A. De Schepper & R. Kaas & J. Dhaene, 2003. "On the Distribution of Cash Flows Using Esscher Transforms," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 70(3), pages 563-575. [Downloadable!] (restricted)

  3. De Schepper, Ann & Goovaerts, Marc & Dhaene, Jan & Kaas, Rob & Vyncke, David, 2002. "Bounds for present value functions with stochastic interest rates and stochastic volatility," Insurance: Mathematics and Economics, Elsevier, vol. 31(1), pages 87-103, August. [Downloadable!] (restricted)
    Other versions:

  4. De Schepper, Ann & Goovaerts, Marc J., 1999. "The GARCH(1,1)-M model: results for the densities of the variance and the mean," Insurance: Mathematics and Economics, Elsevier, vol. 24(1-2), pages 83-94, March. [Downloadable!] (restricted)

  5. Vanneste, M. & Goovaerts, M. J. & De Schepper, A. & Dhaene, J., 1997. "A straightforward analytical calculation of the distribution of an annuity certain with stochastic interest rate," Insurance: Mathematics and Economics, Elsevier, vol. 20(1), pages 35-41, June. [Downloadable!] (restricted)

  6. Goovaerts, Marc & De Schepper, Ann, 1997. "IBNR reserves under stochastic interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 21(3), pages 225-244, December. [Downloadable!] (restricted)

  7. De Schepper, A. & Teunen, M. & Goovaerts, M., 1994. "An analytical inversion of a Laplace transform related to annuities certain," Insurance: Mathematics and Economics, Elsevier, vol. 14(1), pages 33-37, April. [Downloadable!] (restricted)

  8. De Schepper, A. & Goovaerts, M. & Delbaen, F., 1992. "The Laplace transform of annuities certain with exponential time distribution," Insurance: Mathematics and Economics, Elsevier, vol. 11(4), pages 291-294, December. [Downloadable!] (restricted)

  9. De Schepper, A. & Goovaerts, M., 1992. "Some further results on annuities certain with random interest," Insurance: Mathematics and Economics, Elsevier, vol. 11(4), pages 283-290, December. [Downloadable!] (restricted)

  10. De Schepper, A. & De Vylder, F. & Goovaerts, M. & Kaas, R., 1992. "Interest randomness in annuities certain," Insurance: Mathematics and Economics, Elsevier, vol. 11(4), pages 271-281, December. [Downloadable!] (restricted)

NEP Fields

9 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CFN: Corporate Finance (1) 2005-01-02
  2. NEP-ECM: Econometrics (4) 2007-10-20 2008-08-14 2009-01-17 2009-07-03 Author is listed
  3. NEP-FIN: Finance (3) 2005-01-02 2005-01-02 2005-02-13 Author is listed
  4. NEP-RMG: Risk Management (1) 2005-01-02
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This page was last updated on 2009-11-11.

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