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

  • Michèle Vanmaele
  • Griselda Deelstra
  • Jan Liinev
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    File URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/7604/1/gd-0016.pdf
    File Function: gd-0016
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    Paper provided by ULB -- Universite Libre de Bruxelles in its series ULB Institutional Repository with number 2013/7604.

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    Date of creation: 2004
    Date of revision:
    Publication status: Published in: Insurance. Mathematics & economics (2004) v.35 n° 2,p.343-367
    Handle: RePEc:ulb:ulbeco:2013/7604
    Contact details of provider: Postal: CP135, 50, avenue F.D. Roosevelt, 1050 Bruxelles
    Web page: http://difusion.ulb.ac.be

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    1. 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.
    2. 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.
    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. Kaas, Rob & Dhaene, Jan & Goovaerts, Marc J., 2000. "Upper and lower bounds for sums of random variables," Insurance: Mathematics and Economics, Elsevier, vol. 27(2), pages 151-168, October.
    5. 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.
    6. 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.
    7. 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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