Grzegorz Darkiewicz

KU Leuven - Faculty of Business and Economics (FEB)

Naamsestraat 69

Leuven, B-3000

Belgium

SCHOLARLY PAPERS

5

DOWNLOADS

450

SSRN CITATIONS

0

CROSSREF CITATIONS

4

Scholarly Papers (5)

1.

On the Distribution of Life Annuities with Stochastic Interest Rates

Number of pages: 36 Posted: 12 Jan 2006
Tom Hoedemakers, Grzegorz Darkiewicz and Marc Goovaerts
KU Leuven - Faculty of Business and Economics (FEB), KU Leuven - Faculty of Business and Economics (FEB) and Catholic University of Leuven (KUL) - Department of Economics
Downloads 142 (286,564)
Citation 3

Abstract:

Loading...

Life annuities, Stochastic interest rates, Comonotonicity, Stop-loss premiums

2.

Bounds for Stop-Loss Premiums of Stochastic Sums (with Applications to Life Contingencies)

Number of pages: 27 Posted: 12 Jan 2006
KU Leuven - Faculty of Business and Economics (FEB), KU Leuven - Faculty of Business and Economics (FEB), Université Libre de Bruxelles (ULB), Katholieke Universiteit Leuven and Ghent University - Department of Applied Mathematics, Computer Science and Statistics
Downloads 115 (335,260)

Abstract:

Loading...

Stop-loss premium, Life annuity, Comonotonicity, Stochastic time horizon

3.

Can a Coherent Riskmeasure be Too Subadditive?

Journal of Risk and Insurance, Vol. 75, No. 2, pp. 365-386
Number of pages: 28 Posted: 18 Mar 2009
Katholieke Universiteit Leuven, affiliation not provided to SSRN, Vrije Universiteit Brussel (VUB), KU Leuven - Faculty of Business and Economics (FEB) and affiliation not provided to SSRN
Downloads 99 (370,867)

Abstract:

Loading...

risk measure, coherency, solvency, value-at-risk, subadditive

4.

Terminal Wealth Problem Under Uncertainty: How to Choose the Right Asset Mix in Case of Dependent Random Payments

Number of pages: 31 Posted: 06 Mar 2007
Ales Ahcan, Grzegorz Darkiewicz and Tom Hoedemakers
University of Ljubljana - Faculty of Economics, KU Leuven - Faculty of Business and Economics (FEB) and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 89 (396,381)

Abstract:

Loading...

portfolio selection, constant mix strategy, Black&Scholes model, ALM, comonotonicity

5.

Bounds for Right Tails of Deterministic and Stochastic Sums of Random Variables

Journal of Risk and Insurance, Vol. 76, Issue 4, pp. 847-866, December 2009
Number of pages: 20 Posted: 09 Nov 2009
KU Leuven - Faculty of Business and Economics (FEB), Université Libre de Bruxelles (ULB), Katholieke Universiteit Leuven, KU Leuven - Faculty of Business and Economics (FEB) and Ghent University - Department of Applied Mathematics, Computer Science and Statistics
Downloads 5 (860,587)
Citation 1

Abstract:

Loading...